Bayesian Estimation of Archimedean Copula-Based SUR Quantile Models

Table 7

Descriptive statistics.

	APPLE	MICRO	ADOBE	NASDAQ	SMB	HML
Mean	0.011	0.001	0.003	0.001	0.299	0.246
Median	0.013	0.002	0.010	0.005	0.240	0.040
Maximum	0.137	0.092	0.138	0.061	6.860	13.910
Minimum	−0.185	−0.096	−0.263	−0.110	−6.540	−9.670
Std. dev.	0.048	0.032	0.050	0.027	2.549	2.681
Skewness	−0.718	−0.018	−1.580	−0.842	0.124	0.395
Kurtosis	5.157	3.937	9.969	4.758	2.747	7.248
Jarque−Bera	49.521	6.485	431.860	43.681	0.924	137.671
ADF test	4.388	6.245	9.545	4.589	6.414	5.879

Note: denotes 1% significant level.