Table 1: Basic properties of the distribution of returns series.


0.5860.5020.521
0.5450.5080.516
2.0652.8822.705
9.65121.08218.431
5.305e + 0033.117e + 0042.314e + 004
(0.000)(0.000)(0.000)
313.787166.785141.769
(0.000)(0.000)(0.000)
220.78852.35757.845
(0.000)(0.000)(0.000)
931.965
(0.000)
526.008
(0.000)

Notes: denotes the sample mean, is standard deviation, is the Kurtosis (exc), size is the skewness coefficient, is the Jarque-Bera normality test, and are, respectively, the 12th order Ljung-Box tests for serial correlation in the residuals and squared residuals. and are multivariate Ljung-Box version. The number in parenthese is the P-values.