Adaptive Heterogeneous Autoregressive Models of Realized Volatility Based on a Genetic Algorithm

Table 2

Descriptive statistics.

	Mean	Standard deviation	Skew	Kurt	Max	Min	LB(20)	JB	ADF
RV𝑡	3.0393𝐸−04	3.5043𝐸−04	3.5834	25.8002	4.1991𝐸−03	1.4350𝐸−05	2857.0***	29060.4***	−10.2***
lnRV𝑡	−8.5918	1.0156	−0.0283	2.4967	−5.4729	−11.1518	9669.7***	13.0***	−5.2***
CV𝑡	2.9185𝐸−04	3.3945𝐸−04	3.4319	24.4801	4.1991𝐸−03	1.1141𝐸−05	3021.2***	25870.2***	−9.0***
JV𝑡	1.2079𝐸−05	5.3441𝐸−05	13.0101	255.0796	1.2466𝐸−03	0	31.7**	3267252.0***	−34.6***

Note: LB represents the Ljung-Box 𝑄-statistics, JB represents the Jarque-Bera normality test statistics, ***represents the significance level of 1%, and **represents the significance level of 5%.