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Table 1 Descriptive statistics

From: Upside and downside correlated jump risk premia of currency options and expected returns

 

US

EU

UK

JP

Panel (a): 1-Month LIBOR

Mean (%)

− 0.0002

− 0.0006

− 0.0008

0.0000

Std. (%)

0.0257

0.0157

0.0260

0.0100

Skewness

− 2.1912

12.8803

− 19.8004

10.7682

Kurtosis

119.9268

683.7840

1095.9627

375.7140

Panel (b): 3-Month LIBOR

Mean (%)

− 0.0002

− 0.0006

− 0.0008

0.0000

Std. (%)

0.0221

0.0103

0.0215

0.0050

Skewness

− 4.6322

− 1.6300

− 28.1122

1.3630

Kurtosis

103.9143

32.0530

1364.8970

41.9883

Panel (c): 6-Month LIBOR

Mean (%)

− 0.0002

− 0.0006

− 0.0008

0.0000

Std. (%)

0.0238

0.0110

0.0218

0.0047

Skewness

− 2.4002

− 0.4917

− 27.2462

1.8057

Kurtosis

56.7922

34.9124

1334.2701

44.7464

Panel (d): 12-Month LIBOR

Mean (%)

− 0.0002

− 0.0006

− 0.0009

0.0000

Std. (%)

0.0308

0.0146

0.0245

0.0050

Skewness

− 0.3537

1.7316

− 19.4862

0.8376

Kurtosis

25.0563

46.1529

873.4830

69.2170

Panel (e): Exchange Rate

EUR/USD

GBP/USD

JPY/USD

Mean (%)

 

− 0.0011

0.0044

− 0.0017

Std. (%)

 

0.5778

6.6601

0.6104

Skewness

 

− 0.1054

− 0.0028

− 0.3157

Kurtosis

 

3.2436

20.2684

5.1661

  1. This table shows the descriptive statistics of the first-order difference of daily 1-, 3-, 6-, and 12-month LIBORs and the log-return of the daily spot exchange rate. The sample period starts from October 1, 2003 to December 31, 2020. The number of observable data for each type is 4502