Table 2 Summary statistics
Mean | SD | Skew | Kurt | AR(1) | |
|---|---|---|---|---|---|
BITCOIN | 0.596 | 8.915 | 17.229 | 610.629 | − 0.014 |
BIT TRD | 246296.517 | 867752.692 | 9.314 | 114.451 | 0.831** |
OIL | 0.008 | 1.610 | 0.352 | 10.263 | − 0.067** |
GAS | 0.003 | 2.327 | 0.419 | 10.071 | − 0.046** |
COMMO | 0.036 | 2.801 | 23.782 | 1030.892 | 0.000 |
GOLD CASH | 0.010 | 0.774 | − 0.217 | 12.546 | − 0.008 |
GOLD FUTURE | 4.573 | 221.516 | 57.524 | 3348.719 | 0.000 |
SILVER | 0.011 | 1.460 | − 0.701 | 22.354 | − 0.039* |
USCPI | 1.754 | 0.853 | 0.038 | 3.332 | 0.998** |
EFFR | 0.641 | 0.774 | 1.202 | 2.915 | 0.999** |
ECB DFR | − 0.125 | 0.312 | 0.991 | 3.334 | 0.999** |
USCOR BND | 0.014 | 0.236 | − 0.345 | 6.228 | − 0.059** |
PIMCO BND | 0.015 | 0.894 | − 0.429 | 12.080 | 0.060** |
STRESS | − 0.984 | 0.322 | 0.728 | 2.849 | 0.997** |
EUR/USD | − 0.003 | 0.462 | − 0.312 | 9.355 | − 0.006 |
GBP/USD | − 0.004 | 0.455 | − 1.650 | 36.587 | − 0.005 |
CNY/USD | − 0.001 | 0.160 | − 0.599 | 18.421 | − 0.010 |
NYSE | 0.023 | 0.760 | − 0.542 | 11.716 | − 0.50** |
SP 500 | 0.034 | 0.751 | − 0.461 | 11.167 | − 0.055** |
NASDAQ | 0.044 | 0.873 | − 0.397 | 9.333 | − 0.058** |
FTSE 100 | 0.013 | 0.757 | − 0.175 | 7.799 | − 0.011 |
NIKKEI | 0.032 | 1.062 | − 0.515 | 12.660 | − 0.051** |
SHANGHAI | 0.010 | 1.101 | − 0.942 | 13.264 | − 0.0110.011 |
MSCI | 0.024 | 0.669 | − 0.557 | 10.633 | 0.074** |
HEDGE | 0.003 | 0.167 | − 1.018 | 9.627 | 0.141** |
UNCER WRD | 155.924 | 50.102 | 0.986 | 3.307 | 0.994** |
UNCER US | 108.299 | 64.072 | 1.711 | 8.025 | 0.637** |
UNCER UK | 324.096 | 157.934 | 1.809 | 8.912 | 0.991** |
CONSUME | 85.998 | 11.162 | − 0.583 | 2.298 | 0.998** |
32.170 | 19.424 | 0.620 | 3.349 | 0.922** | |
WIKI | 14369.668 | 29671.088 | 14.526 | 359.518 | 0.779** |