From: Return direction forecasting: a conditional autoregressive shape model with beta density
Variable | Mean | SD | Median | Skew. | Kurt. | Corr |
---|---|---|---|---|---|---|
bm | .232 | .141 | .220 | .770 | 4.349 | \(-0.117\) |
tbl | .207 | .190 | .176 | 1.098 | 4.315 | \(-0.035\) |
ntis | .313 | .109 | .316 | 1.666 | 11.619 | \(-0.069\) |
infl | .290 | .066 | .289 | 1.177 | 17.570 | \(-0.043\) |
ltr | .443 | .093 | .436 | .590 | 7.385 | 0.073 |
svar | .039 | .081 | .017 | 5.803 | 46.792 | \(-0.195\) |
tms | .676 | .149 | .684 | \(-.449\) | 3.568 | \(-0.026\) |
dfy | .151 | .130 | .109 | 2.492 | 11.938 | \(-0.074\) |
dp | .428 | .176 | .437 | \(-.152\) | 2.556 | \(-0.099\) |
dy | .438 | .177 | .449 | \(-.178\) | 2.536 | \(-0.007\) |
ep | .682 | .136 | .663 | \(-.541\) | 5.473 | \(-0.073\) |
de | .229 | .125 | .232 | 1.560 | 9.095 | \(-0.047\) |