Table 2.
Summary statistics for the variables and JB, ADF test
| Variable | obs | mean | median | standard deviation | skewness | kurtosis | Jarque–bera | ADF |
|---|---|---|---|---|---|---|---|---|
| hr | 2802 | 5793 | 5232 | 4362.09 | 1.19 | 5.68 | 1508.4*** | − 4.73*** |
| fr | 2802 | 5430 | 4684 | 4853.52 | 1.83 | 9.06 | 5872*** | − 3.77*** |
| ovx | 2802 | 36.63 | 31.79 | 21.84 | 4.50 | 34.46 | 125028*** | − 3.05*** |
| oilcv | 2802 | 361.60 | 153.63 | 491.80 | 2.75 | 13.05 | 15322*** | − 4.87*** |
| oil | 2802 | 53.74 | 53.21 | 17.88 | − 0.30 | 3.25 | 49.55*** | − 2.70** |
| bnd | 2802 | 0.061 | 0.062 | 0.03 | − 0.031 | 2.03 | 110.9*** | − 1.90** |
Table 2 provides the results of the Augmented Dickey-Fuller (ADF) test and it is conducted with an inteercept and lag length selected by Akaike Information Criterion (AIC)
*, **, *** denote significance at 10%, 5% and 1% level, respectively