TABLE 10.
Descriptive statistics of GARCH volatility and model's implied volatility estimates
| Panel A: Descriptive statistics of GARCH volatility estimate | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| United Kingdom | United States | Italy | Germany | China | Brazil | Russia | India | Spain | |
| Mean | 1.7663 | 1.7979 | 2.5892 | 1.8007 | 2.4452 | 5.3868 | 3.1208 | 1.8084 | 1.8911 |
| Median | 0.7329 | 0.4883 | 1.6719 | 1.1545 | 1.6705 | 3.3963 | 1.9388 | 1.0192 | 1.3203 |
| Maximum | 152.7427 | 315.4359 | 110.2596 | 81.2990 | 22.6002 | 212.1903 | 81.7621 | 130.1726 | 70.6085 |
| Minimum | 0.1561 | 0.1058 | 0.3961 | 0.2977 | 0.4427 | 0.9992 | 0.3907 | 0.3148 | 0.4380 |
| SD | 7.0897 | 12.1587 | 5.3752 | 4.1293 | 2.5897 | 11.5398 | 4.7278 | 6.2353 | 3.6070 |
| Skewness | 15.0822 | 18.0271 | 12.8925 | 11.9263 | 3.6957 | 11.4057 | 8.9267 | 13.8604 | 13.0494 |
| Kurtosis | 264.4052 | 367.1540 | 206.1879 | 175.2792 | 20.4280 | 163.1646 | 114.4171 | 223.4008 | 203.6618 |
| Panel B: Descriptive statistics of conditional variance estimate | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| United Kingdom | United States | Italy | Germany | China | Brazil | Russia | India | Spain | |
| Mean | 2.8938 | 3.0164 | 3.2559 | 2.1051 | 2.5414 | 8.4952 | 3.6843 | 2.0532 | 2.0798 |
| Median | 0.7808 | 0.5571 | 1.7562 | 1.1948 | 1.6934 | 3.4044 | 1.9404 | 1.0668 | 1.4317 |
| Maximum | 613.6490 | 1065.3360 | 228.3696 | 173.5321 | 43.0289 | 633.4338 | 124.5595 | 174.0941 | 94.4947 |
| Minimum | 0.1575 | 0.1210 | 0.4045 | 0.3016 | 0.4482 | 1.0015 | 0.3919 | 0.3244 | 0.4753 |
| SD | 20.4377 | 33.2760 | 9.5061 | 7.1241 | 2.9790 | 35.5551 | 7.9912 | 7.7245 | 4.2972 |
| Skewness | 22.8204 | 25.6049 | 14.4875 | 16.0421 | 5.0390 | 11.0604 | 8.6459 | 13.5524 | 14.2181 |
| Kurtosis | 609.7289 | 727.8897 | 282.3976 | 312.5928 | 41.8738 | 147.6355 | 95.3432 | 224.7273 | 243.1128 |
Note: This table reports descriptive statistics for GARCH volatility and model's implied volatility estimates.