Model for Dynamic Multiple of CPPI Strategy

Table 1

Statistical characteristics of shanghai composite index returns.

Statistical indicators	Value
Mean	0.002
Maximum	0.149
Minimum	−0.138
Standard deviation	0.035
Skewness	0.194
Kurtosis	4.570
J-B statistic	76.36 (0.000)
ADF test	−13.030 (0.000)
L-B Q(5)	14.006 (0.016)
L-B Q(10)	22.238 (0.014)