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Table 1 Descriptive statistics of transformed data

From: Forecasting the volatility of EUA futures with economic policy uncertainty using the GARCH-MIDAS model

Variables Mean SD Skew Kurt JB Q(5) ADF ARCH test
R 0.3e−04 0.032 − 0.805 19.418 64.057*** 12.477** − 47.765*** 0.282***
\(^{\bigtriangleup }GEPU\) 0.031 0.220 1.094 5.383 61.510*** 9.645* − 4.106 *** − 0.051**
\(^{\bigtriangleup }EEPU\) 0.030 0.233 1.238 6.578 111.300*** 12.120 ** − 4.524 *** − 0.040
  1. SD, standard deviation; Skew, skewness; Kurt, kurtosis; JB, Jarque-Bera test; Ljung-Box Q test of lagged 5 order (Q(5)); ADF, augmented Dickey-Fuller unit root test. In the case of the ARCH test, the table reports the coefficient of a first-order lag
  2. ***, **, *Indicate significance at the 1%, 5%, 10% levels, respectively