| | VXTYN | ΔOIL | ΔIP | ΔGOLD | OVX | ΔS&P | SPREAD |
|---|
Mean | 6.238 | 0.076 | − 0.001 | 0.752 | 37.682 | 0.616 | 1.735 |
Med | 5.610 | 1.351 | 0.111 | 0.972 | 33.640 | 1.201 | 1.890 |
Max | 14.070 | 61.50 | 6.012 | 13.026 | 170.55 | 11.942 | 3.790 |
Min | 3.340 | − 78.19 | − 14.610 | − 19.095 | 15.610 | − 18.564 | − 0.600 |
Stdev | 2.026 | 11.59 | 1.322 | 4.975 | 17.916 | 4.114 | 1.131 |
Skew | 1.282 | − 1.061 | − 6.407 | − 0.390 | 3.424 | − 0.978 | − 0.236 |
Kurt | 4.701 | 15.59 | 75.35 | 4.105 | 22.35 | 5.759 | 2.081 |
N | 209 | 209 | 209 | 209 | 157 | 209 | 209 |
- The table reports the summary statistics for the key variables in the study. The table includes the mean, median, maximum, minimum, standard deviation, skewness and kurtosis. All values are expressed in percentage terms. VXTYN is the expected volatility of the interest rate; \(R^{Oil}\) is the rate of change in oil prices, ΔIP is the rate of change in industrial production, OVX is the monthly oil volatility, ΔS&P is the value-weighted returns of the S&P500 and spread captures the difference between the yields of 10-year and 3-month bonds. Data about OVX are available since June 2007
