Table 2.
Descriptive statistics.
| Statistics | RV | OVXd | OVXw | OVXm |
|---|---|---|---|---|
| Observations | 423 | 423 | 423 | 423 |
| Mean | 2.864 | 9.437 | 43.777 | 129.150 |
| Std.dev | 3.174 | 20.694 | 98.063 | 187.955 |
| Skewness | 4.410 | 4.380 | 4.645 | 6.796 |
| Kurtosis | 28.314 | 19.298 | 21.540 | 59.439 |
| Jarque-Bera | 15146.025∗∗∗ | 7743.659∗∗∗ | 9485.574∗∗∗ | 64014.580∗∗∗ |
| Q (5) | 281.651∗∗∗ | 1751.075∗∗∗ | 1680.400∗∗∗ | 1065.756∗∗∗ |
| Q (22) | 443.106∗∗∗ | 3227.844∗∗∗ | 2800.687∗∗∗ | 1566.371∗∗∗ |
Notes: This table shows the descriptive statistics for all variables, including time series of RV and OVX. The whole sample period ranges from March 27, 2018 to April 16, 2020 containing 423 trading days. Following Jarque and Bera (1987), we set the null hypothesis of normal distribution for each variable. Ljung and Box (1978) propose the Ljung-Box statistic called Q(n), in our study, we test the 5th and 22nd order serial correlation. Asterisk ∗∗∗, ∗∗ and ∗ denote rejections of null hypothesis at 1%, 5% and 10% level. In this table, p value less than 0.1 are meaningful.