Tables
Table 1. Distributional moments and unit-root test results
|
Mean |
Std.Dev. Skewness |
Kurtosis |
JB |
ADF PP | ||
|
Stock Returns S&P 500 |
0.0310 |
0.0102 |
-0.1031 |
6.8986 |
2485.06 |
-62.665c -62.877c |
|
Nikkei 225 |
-0.0312 |
0.0148 |
0.1961 |
6.3530 |
1858.13 |
-46.979c -63.862c |
|
Implied Volatility S&P 500 |
0.1988 |
0.0635 |
0.9063 |
3.7215 |
620.70 |
-3.863b -5.379a |
|
Nikkei 225 |
0.2476 |
0.0647 |
0.6528 |
4.1171 |
481.53 |
-6.143b -6.907 b |
|
Changes in Implied Volatility S&P 500 |
-0.0010 |
0.0122 |
0.5690 |
9.2627 |
6605.84 |
-22.530c -73.542c |
|
Nikkei 225 |
0.0026 |
0.0165 |
0.6450 |
39.4066 216373.60 |
-42.551c -84.201c | |
Notes: The sample period extends from January 2, 1990 to December 31, 2004. JB refers
to Jarque-Bera statistics for normality tests. ADF refers to Augmented
Dickey-Fuller tests using Schwarz information criterion. PP refers to
Phillips-Perron tests with Newey-West bandwidth using Bartlett kernel. The
superscripts a, b and c refer to unit root tests with trend and intercept, with intercept
only, with neither trend nor intercept, respectively. The means of return series and
volatility first differences are scaled by 102.
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