From: Can the Baidu Index predict realized volatility in the Chinese stock market?
 | Mean | Std | Skewness | Kurtosis | Q(5) | Q(10) | Q(15) | ADF test |
---|---|---|---|---|---|---|---|---|
\({RV}_{t}\) | 2.0356 | 4.3549 | 8.4772 | 102.1690 | 3000.5*** | 4064.5*** | 4600.5*** | − 19.0158*** |
\({RV}_{t-4,t}\) | 2.0302 | 3.5615 | 6.8019 | 61.1569 | 7072.3*** | 9618.7*** | 10,852*** | − 4.9322*** |
\({RV}_{t-21,t}\) | 2.0255 | 2.8059 | 4.3552 | 23.1870 | 9510.3*** | 17,147*** | 22,623*** | − 1.5736 |
\({J}_{t}\) | 0.3226 | 2.0344 | 17.7191 | 409.9864 | 103.6*** | 110.5*** | 125.0*** | − 41.3351*** |
\({J}_{t-4,t}\) | 0.3222 | 1.0651 | 9.6433 | 124.0903 | 3311.8*** | 3392.5*** | 3434.2*** | − 11.6409*** |
\({J}_{t-21,t}\) | 0.3199 | 0.5934 | 4.3531 | 24.2468 | 8381.0*** | 13,660*** | 16,480*** | − 4.2723*** |
\({C}_{t}\) | 1.7130 | 3.3405 | 7.0078 | 65.9576 | 4002.3*** | 5655.4*** | 6548.1*** | − 15.6743*** |
\({C}_{t-4,t}\) | 1.7080 | 2.8584 | 6.0201 | 48.5859 | 7566.3*** | 10,892*** | 12,649*** | − 4.1946*** |
\({C}_{t-21,t}\) | 1.7056 | 2.3411 | 4.2527 | 24.7815 | 9598.7*** | 17,513*** | 23,343*** | − 1.3818 |
\({RSV}_{t}^{-}\) | 1.0354 | 2.7893 | 12.2875 | 225.3263 | 1110.0*** | 1633.2*** | 1890.0*** | − 26.0836*** |
\({RSV}_{t}^{+}\) | 1.0002 | 2.2057 | 10.5777 | 183.2157 | 2551.0*** | 3307.6*** | 3640.3*** | − 22.1200*** |
\({RSV}_{t-4,t}^{-}\) | 1.0330 | 1.9408 | 6.4176 | 53.8677 | 6129.0*** | 8345.7*** | 9478.0*** | − 6.8134*** |
\({RSV}_{t-4,t}^{+}\) | 0.9972 | 1.7340 | 7.3391 | 72.0839 | 7034.2*** | 9332.2*** | 10,302*** | − 5.2929*** |
\({RSV}_{t-21,t}^{-}\) | 1.0291 | 1.4850 | 4.0589 | 19.7200 | 9426.1*** | 17,057*** | 22,646*** | − 2.0335** |
\({RSV}_{t-21,t}^{+}\) | 0.9964 | 1.3459 | 4.6139 | 26.3499 | 9479.2*** | 16,941*** | 22,072*** | − 1.6804* |
\({RV}_{t}{I}_{[{r}_{i}<0]}\) | 1.0137 | 3.5338 | 11.8799 | 196.9773 | 486.3*** | 738.5*** | 848.2*** | − 33.4634*** |
\(\Delta {J}_{t}\) | − 0.0352 | 2.5151 | − 5.7525 | 230.0335 | 143.8*** | 163.2*** | 175.3*** | − 46.0637*** |
\(\Delta {J}_{t}{I}_{\left[\Delta {J}_{t}<0\right]}\) | − 0.3867 | 2.0237 | − 17.4996 | 396.7764 | 49.81*** | 85.92*** | 107.4*** | − 39.6309*** |
\(\Delta {J}_{t}{I}_{\left[\Delta {J}_{t}>0\right]}\) | 0.3515 | 1.3994 | 20.2655 | 603.1561 | 229.6*** | 248.2*** | 256.0*** | − 39.8506*** |
\(\Delta {J}_{t-4,t}\) | − 0.0357 | 0.9291 | − 3.2872 | 45.5140 | 1573.0*** | 1600.9*** | 1638.4*** | − 18.6343*** |
\(\Delta {J}_{t-4,t}{I}_{\left[\Delta {J}_{t-4,t}<0\right]}\) | − 0.2219 | 0.7544 | − 7.7952 | 77.4435 | 2286.1*** | 2374.6*** | 2393.1*** | − 14.7598*** |
\(\Delta {J}_{t-4,t}{I}_{\left[\Delta {J}_{t-4,t}>0\right]}\) | 0.1861 | 0.4597 | 9.0984 | 145.1430 | 1075.6*** | 1107.5*** | 1113.3*** | − 19.9480*** |
\(\Delta {J}_{t-21,t}\) | − 0.0327 | 0.4005 | − 2.2144 | 8.2741 | 6750.3*** | 10,805*** | 12,539*** | − 9.2129*** |
\(\Delta {J}_{t-21,t}{I}_{\left[\Delta {J}_{t-21,t}<0\right]}\) | − 0.1329 | 0.3298 | − 3.6243 | 15.3696 | 6965.5*** | 11,229*** | 13,247*** | − 8.1011*** |
\(\Delta {J}_{t-21,t}{I}_{\left[\Delta {J}_{t-21,t}>0\right]}\) | 0.1002 | 0.1581 | 2.3289 | 6.6759 | 6086.9*** | 9600.1*** | 11,392*** | − 8.6667*** |
\({B}_{t}\) | 902.2128 | 39.2789 | 1.7131 | 3.1501 | 9498.5*** | 18,584*** | 27,309*** | − 0.1618 |