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