Table 4 Summary Statistics on Filtered PMG and PML
From: Timing the market: the economic value of price extremes
Panel A. Monthly Index Data | Panel B. Quarterly Index Data | |||
|---|---|---|---|---|
Filtered | P MG t | P ML t | P MG t | P ML t |
Mean | 0.000 | 0.000 | 0.000 | 0.000 |
Std.dev | 1.000 | 1.000 | 1.000 | 1.000 |
Maxi | 3.637 | 4.915 | 2.515 | 3.329 |
Mini | -2.748 | -2.343 | -2.383 | -1.933 |
Skew | -0.006 | 0.538 | 0.098 | 0.740 |
Kurt | 3.212 | 3.312 | 2.564 | 3.363 |
J-B stat | 1.486 | 41.4 | 2.505 | 26.346 |
Prob | 0.476 | 0.000 | 0.286 | 0.000 |
Auto-Correlation Function (lag) | ||||
ACF(1) | 0.003 | 0.039 | 0.010 | 0.008 |
ACF(3) | 0.039 | -0.013 | -0.021 | -0.057 |
ACF(6) | -0.026 | -0.056 | -0.064 | -0.038 |
ACF(9) | -0.008 | -0.020 | 0.017 | -0.055 |
ACF(12) | 0.035 | 0.053 | -0.029 | 0.047 |
Q(12) | 12.29 | 12.042 | 1.092 | 9.036 |
Obs | 791 | 791 | 263 | 263 |