Table 2: Summary Statistics of the Estimated Conditional Standard Deviations
|
Mean |
Std. Deviation |
Skewness |
Kurtosis | |
|
S&P 500 |
.028 |
.006 |
.070 |
.073 |
|
S&P 500 Div. Yield |
.915 |
.275 |
.872 |
1.039 |
|
World ex US |
.029 |
.089 |
.549 |
.272 |
|
World ex US Div. | ||||
|
Yield |
.770 |
.236 |
.245 |
-.291 |
|
Term Structure |
1.001 |
.767 |
1.044 |
.403 |
|
US M2 |
.002 |
.000 |
1.069 |
2.464 |
|
Ind. Production |
.328 |
.112 |
1.786 |
3.467 |
|
Inflation |
.001 |
.000 |
.301 |
.093 |
|
US Dollar |
.008 |
.001 |
-.173 |
.037 |
|
Con. Confidence |
.046 |
.016 |
.704 |
.330 |
|
Gold |
.026 |
.009 |
.996 |
2.271 |
|
Palladium |
.066 |
.021 |
.385 |
-.201 |
|
Silver |
.044 |
.014 |
.700 |
.830 |
|
Platinum |
.037 |
.013 |
.344 |
-.042 |
Note- This table provides the descriptive statistics for conditional volatilities.
19
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