Table 2.
Descriptive statistics.
| Panel A Realized volatility of commodity futures | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Obs | Mean | Median | Max | Min | SD | Skew | Kurt | JB-test | DF-test | LBQ-test | |
| Soybeans | 204 | 0.016 | 0.013 | 0.074 | 0.006 | 0.009 | 3.414 | 19.027 | 0.001 | 0.001 | 0.055 |
| Gold | 230 | 0.019 | 0.010 | 0.173 | 0.004 | 0.022 | 3.384 | 17.341 | 0.001 | 0.001 | 0.000 |
| WTI |
230 |
0.018 |
0.015 |
0.090 |
0.006 |
0.011 |
2.367 |
13.056 |
0.001 |
0.001 |
0.000 |
| Panel B Macro factors | |||||||||||
| Obs |
Mean |
Median |
Max |
Min |
SD |
Skew |
Kurt |
JB-test |
DF-test |
LBQ-test |
|
| EPU | 230 | −0.626 | −5.285 | 191.320 | −169.080 | 53.440 | 0.348 | 4.346 | 0.002 | 0.001 | 0.000 |
| ESI | 230 | −0.218 | −0.300 | 44.500 | −36.400 | 11.778 | 0.204 | 4.093 | 0.008 | 0.001 | 0.007 |
| DEF | 230 | −0.002 | 0.000 | 0.090 | −0.170 | 0.038 | −0.666 | 5.296 | 0.001 | 0.001 | 0.075 |
| SI | 230 | 0.001 | 0.000 | 0.502 | −0.498 | 0.131 | −0.201 | 5.774 | 0.001 | 0.001 | 0.001 |
| VIX | 230 | −0.057 | −0.155 | 27.720 | −12.310 | 3.258 | 2.400 | 25.826 | 0.001 | 0.001 | 0.000 |
| GPR | 230 | 0.266 | −2.332 | 527.828 | −291.347 | 79.808 | 0.963 | 11.367 | 0.001 | 0.001 | 0.000 |
Note: SI = investor sentiment index, VIX = volatility index, DEF = default spread, EPU = US economic policy uncertainty Index, ESI = Citi economic surprise index, GPR = geopolitical risk index. All these variables are in first difference. For the Jarque-Bera tests, the Dickey-Fuller tests, and the Ljung-Box Q tests, the p-values are reported.