Multi-Frequency Information Flows between Global Commodities and Uncertainties: Evidence from COVID-19 Pandemic

Table 1

Preliminary statistical analysis.

Returns	Mean	Std. dev.	Skewness	Kurtosis	Jarque−Bera	KPSS
Aggregated commodities
Acommodity	0.001	0.014	−1.389	10.158	749.234	0.495
Aenergy	−0.006	0.107	−14.046	226.878	646987.1	0.534
Ametals	0.001	0.010	−0.557	4.378	39.941	0.153
Imetals	−0.001	0.028	−13.336	212.749	568139.4	0.589
Energy
Brent	0.013	0.236	16.710	287.811	1045063	0.229
Gasoline	0.014	0.245	16.516	283.505	1013796	0.220
Htoil	0.013	0.243	16.917	292.439	1079185	0.238
Ngas	0.001	0.041	0.670	5.524	103.723	0.093
Petroleum	0.000	0.044	−1.993	19.608	3707.138	0.374
Agricultural
Cocoa	−0.004	0.061	−15.390	257.984	838297.3	0.301
Coffee	−0.014	0.247	−16.879	291.553	1072618	0.366
Corn	−0.008	0.137	−16.804	289.869	1060174	0.434
Cotton	−0.015	0.250	−17.249	300.013	1136212	0.386
Soybeans	−0.020	0.344	−17.311	301.448	1147183	0.372
Wheat	−0.013	0.223	−17.078	296.083	1106443	0.390
Metals
Gold	0.003	0.047	15.254	255.126	819662.2	0.411
Lead	0.000	0.015	−0.215	4.108	17.942	0.128
Nickel	0.000	0.017	−0.540	5.048	68.091	0.155
Palladium	0.001	0.033	−0.436	20.582	3938.329	0.021
Zinc	0.004	0.054	15.626	263.341	873746.4	0.198
Uncertainties
EPU	0.008	0.513	0.592	5.494	96.917	0.118
Gvolatility	0.008	0.122	17.116	296.988	1113263	0.319
VCRIX	0.014	0.236	12.827	200.573	504434.8	0.290
VIX	−0.001	0.104	−0.430	18.019	2875.934	0.050
OVX	0.010	0.187	10.009	142.305	251709.3	0.407

Note. ^∗, ^∗∗, and ^∗∗∗ indicate significance at 10%, 5%, and 1% levels, respectively.