Table 2: Descriptive statistics. The table reports the mean, maximum, minimum, standard deviation, skewness, kurtosis, and Jarque-Bera (JB) of the EGX 30 and estimates of the mean and the 5 percent, 25 percent, 50 percent, 75 percent, and 95 percent quantiles of these statistics for the MOD1 and the MOD2, respectively. Computations are based on 5000 time series, each containing 4120 observations.

SeriesMean/quantileMeanMax.Min.Std. dev.Skew.Kurt.JB

EGX 305.39 10−40.18−0.180.018−0.3312.0414101.9

MOD1 ()Mean7.36 10−70.14−0.140.0240.013.69
0.05−6.73 10−50.11−0.180.021−0.232.70
0.25−2.02 10−50.13−0.150.023−0.083.21
0.50−7.27 10−70.14−0.140.0240.013.64
0.751.94 10−50.15−0.120.0250.114.10
0.956.82 10−50.18−0.110.0270.254.89

MOD2 ()Mean−6.19 10−70.14−0.140.0230.014.39
0.05−6.82 10−50.11−0.180.020−0.253.28
0.25−1.86 10−50.13−0.150.021−0.103.85
0.50−7.31 10−70.14−0.140.0230.014.32
0.751.57 10−50.15−0.130.0240.014.82
0.956.08 10−50.18−0.110.0260.275.77