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Financial Innovation

Table 2 Preliminary analysis of the assets

From: Applying multivariate-fractionally integrated volatility analysis on emerging market bond portfolios

 

Indonesia ST

Brazil ST

India ST

S. Africa ST

Mexico ST

Turkey ST

Number of Observations

557

557

557

557

557

557

Mean

0.156%

0.230%

0.134%

0.146%

0.111%

0.179%

Std. dev.

0.46%

0.43%

0.22%

0.34%

0.23%

0.59%

Maximum

3.3%

2.2%

1.2%

1.8%

1.9%

3.4%

Minimum

−2.5%

− 2.9%

− 1.5%

− 2.5%

− 1.8%

−4.6%

Skewness

0.24

− 1.22

− 0.52

− 0.05

− 0.18

1.13

Kurtosis

9.65

10.20

19.69

9.90

7.84

13.94

Jarque-Bera

2187.5***

2576.1***

9099.2***

2297.4***

1444.7***

64074***

Q(12)

43.12***

34.12***

9.18

40.53***

36.30***

22.03**

Q2(12)

633.57***

59.17***

129.21***

452.48***

283.18***

106.21***

H

0.8848

0.8128

0.7351

0.7106

0.7203

0.7521

Unit Root Tests

 ADF

− 80849***

− 72705***

− 70150***

− 89878***

− 66742***

− 92934***

 PP

− 468.41

−576.72***

− 539.54***

− 546.7***

− 679.5***

− 632.68***

 

Indonesia LT

Brazil LT

India LT

S. Africa LT

Mexico LT

Turkey LT

Number of Observations

557

557

557

557

557

557

Mean

0.165%

0.251%

0.118%

0.167%

0.145%

0.124%

Std. dev.

1.95%

1.65%

0.86%

1.27%

1.38%

1.25%

Maximum

10.8%

8.9%

4.5%

7.1%

16.7%

5.3%

Minimum

− 13.5%

−7.5%

−5.2%

− 11.4%

−13.0%

−8.8%

Skewness

−0.93

−1.37

− 0.90

0.07

−0.99

− 1.33

Kurtosis

8.42

14.21

13.75

5.55

13.35

7.07

Jarque-Bera

1743.5***

4906.2***

4499.4***

722.28***

4265.5***

1335.8***

Q(12)

33.71***

4.12

40.63***

17.23

13.79

30.74**

Q2(12)

136.51***

84.30***

114.86***

77.65***

51.41***

104.46***

H

0.9534

0.7943

0.7867

0.6683

0.7432

0.6982

Unit Root Tests

 ADF

− 68632***

− 76801***

− 76948***

− 76179***

− 90997***

− 76642***

 PP

− 671.63***

− 596.52***

− 527.2***

− 660.63***

− 606.47***

− 591.73***

  1. The Jarque-Bera tests the normality assumption of the time series with the null hypothesis of normality in the sample. Q(12) and Q2(12) are the Ljung Box statistical tests for the serial correlation of returns and squared returns up to the lag 12. H refers to the Hurst exponent of volaility; corresponds to the level of fractality. H > 0.5 implies persistence. ADF and PP are augmented Dickey-Fuller test and Philips Perron unit root tests respectively. Both tests based on the lowest AIC value. *** refers to rejection of the null hypothesis at 1% significance level
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