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Financial Innovation

Table 1 Descriptive statistics for cryptocurrency, commodity and stock’s realized volatility, kurtosis, skewness, and jumps

From: Dynamic connectedness and network in the high moments of cryptocurrency, stock, and commodity markets

 

BTC

ETH

EURO STOXX50

FTSE100

NIKKEI225

SP500

Brent

Gold

Panel A: realized volatility

        

Mean

0.0018

0.0031

0.00024

0.00019

0.00021

0.00018

0.00075

8.5273e−005

Std.dev

0.0046

0.0068

0.00082

0.00059

0.00056

0.00056

0.00243

0.00014

Skewness

13.016***

11.500***

11.945***

11.092***

7.537***

7.785***

11.605***

6.370***

Kurtosis

219.28***

169.88***

194.84***

165.94***

69.19***

72.10***

174.62***

59.57***

Jarque–Bera

1,790,023.***

1,078,843.***

1,414,581.***

1,028,888.***

184,104.***

199,726.***

1,139,196.***

136,224.***

ERS

− 8.598***

− 8.866***

− 7.406***

− 5.867***

− 4.710***

− 4.912***

− 8.966***

− 7.060***

ADF

− 10.195***

− 9.934***

− 8.283***

− 6.803***

− 5.303***

− 5.015***

− 11.129***

− 7.791***

Q(10)

258.77***

280.29***

799.24***

1072.58***

1822.03***

1671.85***

492.23***

692.52***

Q2(10)

78.35***

25.65***

133.69***

214.04***

960.52***

846.35***

172.90***

316.74***

Panel B: TBPV jumps

        

Mean

0.0016

0.0027

0.00018

0.00017

0.00018

0.00016

0.00069

8.1013e−005

Std.dev

0.0046

0.0068

0.00045

0.00044

0.00050

0.00051

0.0024

0.00014

Skewness

13.18***

11.80***

7.499***

7.884***

8.191***

7.629***

12.89***

6.964***

Kurtosis

219.54***

176.23***

70.06***

74.55***

84.18***

66.73***

213.07***

67.82***

Jarque–Bera

1,794,802.***

1,160,643.***

188,445.***

213,150.***

270,034.***

172,015.***

1,690,984.***

176,001.***

ERS

− 9.093***

− 9.140***

− 6.135***

− 5.864***

− 5.783***

− 5.778***

− 9.167***

− 7.304***

ADF

− 12.315***

− 9.931***

− 4.541***

− 4.494***

− 4.778***

− 4.703***

− 3.362**

− 4.705***

Q(10)

233.56***

257.70***

1171.68***

1300.32***

1407.31***

1363.90***

449.89***

583.27***

Q2(10)

72.48***

23.07***

824.05***

794.84***

693.21***

850.15***

125.40***

228.37***

Panel C: realized skewness

        

Mean

0.21

− 0.073

0.005

0.069

0.024

0.001

0.013

0.122

Std.dev

8.94

8.732

7.705

13.459

7.122

5.518

1.448

6.359

Skewness

0.216***

− 0.808***

− 0.343***

0.043

0.255***

0.041

0.910***

1.615***

Kurtosis

5.888***

11.13***

9.410***

8.162***

15.73***

23.34***

18.41***

10.85***

Jarque–Bera

1230.***

4469.***

3141.***

2351.***

8800.***

19,234.***

12,084.***

4523.***

ERS

− 2.947***

− 12.87***

− 12.47***

− 13.37***

− 4.134***

− 12.49***

− 5.342***

− 13.54***

ADF

− 3.501***

− 2.849**

− 3.794***

− 4.974***

− 4.578***

− 5.087***

− 9.544***

− 4.925***

Q(10)

4.245

2.228

8.147

4.633

16.43***

5.597

13.83***

10.02*

Q2(10)

30.30***

50.74***

75.26***

84.10***

106.47***

92.99***

21.65***

48.46***

Panel D: Realized kurtosis

        

Mean

16.71

12.96

23.67

18.48

18.05

23.64

7.346

17.84

Std,dev

1239.29

1039.07

1162.72

1513.32

1211.91

2383.6

144.11

998.56

Skewness

4.762***

5.450***

3.120***

3.740***

3.476***

3.241***

6.065***

3.697***

Kurtosis

24.29***

30.956***

11.986***

15.014***

13.306***

10.207***

49.843***

16.287***

Jarque–Bera

24,993.***

39,539.***

6702.***

10,327.***

8273.***

5367.***

96,594.***

11,744.***

ERS

− 11.37***

− 12.87***

− 5.302***

− 14.35***

− 15.96***

− 14.42***

− 8.336***

− 11.36***

ADF

31.427***

− 5.438***

− 29.326***

− 29.427***

− 28.786***

− 29.658***

− 30.038***

− 29.938***

Q(10)

116.82***

119.86***

55.86***

202.49***

266.95***

254.10***

44.30***

227.57***

Q2(10)

74.17***

75.45***

26.07***

85.34***

152.90***

153.86***

25.42***

82.58***

  1. *** and ** indicate significance at the 1% and 5% level, respectively. Jarque–Bera stands for the Jarque–Bera test for the null hypothesis of a normal distribution. ERS stands for the Elliott–Rothenberg–Stock test of stationarity, where the null hypothesis is that the series follows a random walk. ADF indicates the unit root test of Dickey–Fuller (1979) which checks the null hypothesis of unit root for the residuals. Q(10) and Q2(10) stand for the Ljung-Box tests on the original series and its squared terms
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