Sample Interval | Volatility | Mean | Standard Deviation | Skewness | Kurtosis | Maximum Value | Minimum Value |
60 trading days before | ARMA-EGARCH-M | 0.0221 | 0.0049 | 0.8046 | 3.1518 | 0.0338 | 0.0136 |
Parkinson | 0.0105 | 0.0049 | 1.1554 | 3.9683 | 0.0259 | 0.0039 | |
RSY | 0.0138 | 0.0066 | 1.6664 | 7.9102 | 0.0431 | 0.0045 | |
60 trading days after | ARMA-EGARCH-M | 0.0174 | 0.0049 | 0.8782 | 5.8130 | 0.0373 | 0.0074 |
Parkinson | 0.0142 | 0.0061 | 0.7458 | 2.6514 | 0.0300 | 0.0057 | |
RSY | 0.0179 | 0.0096 | 0.8451 | 3.0474 | 0.0449 | 0.0036 | |
180 trading days before | ARMA-EGARCH-M | 0.0250 | 0.0052 | 0.5272 | 3.3022 | 0.0426 | 0.0136 |
Parkinson | 0.0138 | 0.0078 | 1.5807 | 6.2891 | 0.0519 | 0.0039 | |
RSY | 0.0181 | 0.0101 | 1.4713 | 5.5823 | 0.0596 | 0.0045 | |
180 trading days after | ARMA-EGARCH-M | 0.0202 | 0.0068 | 1.2146 | 5.2395 | 0.0481 | 0.0074 |
Parkinson | 0.0127 | 0.0059 | 1.2037 | 4.5075 | 0.0377 | 0.0038 | |
RSY | 0.0168 | 0.0086 | 0.9877 | 3.4973 | 0.0449 | 0.0036 | |
360 trading days before | ARMA-EGARCH-M | 0.0248 | 0.0063 | 0.5585 | 3.4959 | 0.0472 | 0.0088 |
Parkinson | 0.0159 | 0.0085 | 1.3587 | 5.2137 | 0.0519 | 0.0039 | |
RSY | 0.0214 | 0.0120 | 1.4725 | 6.0300 | 0.0753 | 0.0038 | |
360 trading days after | ARMA-EGARCH-M | 0.0197 | 0.0061 | 1.1998 | 5.4371 | 0.0481 | 0.0074 |
Parkinson | 0.0112 | 0.0055 | 1.4740 | 5.3316 | 0.0377 | 0.0038 | |
RSY | 0.0146 | 0.0081 | 1.2380 | 4.3581 | 0.0449 | 0.0015 |