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Table 2 Summary statistics for all variables

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

  1. Q(5), Q(10) and Q(15) are the Ljung-Box Q-statistics with 5, 10, 15 trading days lag. The last column is augmented Dickey–Fuller test statistic. ***, **, * indicate statistical significance at 1%, 5% or 10% level, respectively