Table 3.
Descriptive statistics for pre-covid-19 period.
| d_csp500 | d_cspe35 | d_cspa | d_sps5 | d_spes35 | d_spas | d_vix | d_ovx | d_gvz | d_soil | d_sgold | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Mean | 0.048 | 0.022 | 0.018 | 0.049 | 0.034 | 0.035 | −0.029 | −0.004 | −0.025 | −0.013 | 0.012 |
| Median | 0.059 | 0.052 | 0.055 | 0.062 | 0.063 | 0.058 | −0.497 | −0.356 | −0.425 | 0.039 | 0.024 |
| Max. | 5.693 | 4.446 | 4.785 | 6.072 | 3.706 | 4.529 | 76.825 | 42.497 | 48.073 | 12.07 | 4.693 |
| Min. | −6.896 | −7.081 | −5.159 | −6.042 | −5.053 | −5.638 | −31.41 | −43.991 | −30.69 | −10.64 | −8.876 |
| Std. Dev. | 0.909 | 0.990 | 0.864 | 0.915 | 0.906 | 0.992 | 7.694 | 4.909 | 5.366 | 2.022 | 0.964 |
| Skew. | −0.484 | −0.448 | −0.471 | −0.403 | −0.322 | −0.248 | 1.122 | 1.027 | 0.894 | 0.027 | −0.579 |
| Kurtosis | 8.132 | 6.785 | 6.216 | 7.377 | 5.601 | 4.966 | 10.068 | 13.155 | 9.589 | 6.021 | 8.882 |
| Jarque-Bera | 2703.246 | 1499.637 | 1112.942 | 1963.136 | 712.012 | 407.67 | 5451.8 | 10639.830 | 4620.959 | 904.935 | 3561.987 |
| Prob. | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.000 | 0.00 | 0.000 |
Source: Prepared by Authors