Table 5.
Descriptive statistics of jumps and news (BNS method).
| CHFJPY | GBPCHF | GBPJPY | USDCHF | USDJPY | USDTRY | EURCHF | EURGBP | EURJPY | EURTRY | EURUSD | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| # of observation | 735.264 | 735.264 | 735.264 | 735.264 | 735.264 | 735.264 | 735.264 | 735.264 | 735.264 | 735.264 | 735.264 |
| # of days | 2555 | 2555 | 2555 | 2555 | 2555 | 2555 | 2555 | 2555 | 2555 | 2555 | 2555 |
| # of news | 10850 | 10850 | 10850 | 10850 | 10850 | 10850 | 10850 | 10850 | 10850 | 10850 | 10850 |
| # of news days | 2355 | 2355 | 2355 | 2355 | 2355 | 2355 | 2355 | 2355 | 2355 | 2355 | 2355 |
| P(news) % | 0.922 | 0.922 | 0.922 | 0.922 | 0.922 | 0.922 | 0.922 | 0.922 | 0.922 | 0.922 | 0.922 |
| # of Jumps | 1136 | 1198 | 1565 | 1155 | 1168 | 1450 | 1117 | 1381 | 1229 | 1258 | 1433 |
| # of Jumps-matched news | 258 | 254 | 273 | 277 | 235 | 342 | 309 | 315 | 267 | 348 | 357 |
| P (jump/news) % | 2.38 | 2.34 | 2.52 | 2.55 | 2.17 | 3.15 | 2.85 | 2.90 | 2.46 | 3.21 | 3.29 |
| P (matched news/jump) % | 22.71 | 21.20 | 17.44 | 23.98 | 20.12 | 23.59 | 27.66 | 22.81 | 21.72 | 27.66 | 24.91 |