Table 2.

Estimated SGED parameters: unconditional distribution of returns

Statistics	BTC	EUR	JPY	CAN	GBP	RMB
μ	0.4063	− 0.0037	− 0.0140	− 0.0083	− 0.0058	− 0.0011
	(0.0998)**	(0.0109)	(0.0016)**	(0.0091)	(0.0113)	(0.0024)
σ	5.1330	0.4834	0.5326	0.4571	0.5442	0.2029
	(0.1678)**	(0.0098)**	(0.0127)**	(0.009)**	(0.0156)**	(0.0074)**
k	0.7050	1.1558	1.0139	1.2329	1.1434	0.6479
	(0.0263)**	(0.0439)**	(0.0382)**	(0.0504)**	(0.0782)**	(0.0514)**
λ	0.0313	0.0060	− 0.0005	− 0.0129	− 0.0207	− 0.0048
	(0.0153)*	(0.0209)	(0.0034)	(0.0168)	(0.034)	(0.0097)
SK	0.2202	0.0208	− 0.0020	− 0.0407	− 0.0725	− 0.0384
KU	10.9342	4.9609	5.8844	4.5992	5.0297	13.0491
LogL	− 7233.6	− 1647.8	− 1824.4	− 1532.3	− 1942.8	1231.9
LR-Normal	1241.2	226.7	426.8	173.0	367.0	1,401.6
OBS	2534	2534	2534	2534	2534	2534

Estimates are based on the maximum likelihood estimation method. Parentheses include robust standard errors. SK = Ez³ and KU = Ez⁴ are the Pearson’s moment coefficients of skewness and kurtosis computed using Eqs. (17) and (18), respectively. LogL is the sample log-likelihood value. LR-Normal = –2 (LogL – Log-Normal) is the sample log-likelihood ratio test statistic for normality of returns; it follows chi-square with 2 d.f. Its 5% and 1% critical values are respectively 5.99 and 9.21

** and * indicate significance at the 1% and 5% level, respectively