Variable | \( {R}_{m,t}^c \) | \( {R}_{a,t}^c \) | \( {R}_{d,t}^c \) | \( {R}_t^{s\&p} \) |
---|---|---|---|---|
Mean (%) | −0.018 | 0.029 | 0.012 | 0.037 |
SD (%) | 1.087 | 0.910 | 1.463 | 1.086 |
Min (%) | −8.565 | −7.292 | −8.748 | −11.984 |
Max (%) | 5.788 | 4.835 | 6.715 | 9.383 |
Skewness | −0.524 | −0.515 | −0.515 | −0.680 |
Kurtosis | 8.881 | 10.369 | 7.408 | 20.369 |
ADF-test | −46.637*** | −39.872*** | −48.315*** | −19.035*** |