Research Article
Model Calibration and Validation for the Fuzzy-EGARCH-ANN Model
Table 2
Statistical properties of daily S&P 500 log return data.
| Statistical properties of daily S&P 500 log return data |
| Min. | −0.043 945 | Max. | 0.045 966 | Mean | −0.000 355 | Median | −0.000 228 | Variance | 0.000 060 | Skewness | −0.802 855 | Kurtosis | 8.347 911 | Arch test | value = 2.2 204e − 16 | Jarque–Bera test (for alpha = 0.05) | value = 0 | ADF test | value = 1.0 000e-03 | PP test | value = 1.0 000e-03 |
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