Research Article
Realized Jump Risk and Equity Return in China
Table 2
Descriptive statistics of jump components for size 1 and size 2 portfolios.
| SZ1 | Size | Mean | Arr | Std | SZ2 | Size | Mean | Arr | Std |
| Mean | 0.0803 | 0.0199 | 0.1899 | 0.0032 | Mean | 0.0887 | 0.0225 | 0.1895 | 0.0035 | Median | 0.0617 | 0.0187 | 0.1713 | 0.0023 | Median | 0.0656 | 0.0202 | 0.1707 | 0.0029 | Maximum | 0.2813 | 0.0442 | 0.4134 | 0.0106 | Maximum | 0.3011 | 0.0488 | 0.4264 | 0.0097 | Minimum | 0.0304 | 0.0108 | 0.0870 | 0.0013 | Minimum | 0.0429 | 0.0119 | 0.1065 | 0.0014 | Std. dev. | 0.0553 | 0.0077 | 0.0786 | 0.0019 | Std. Dev. | 0.0596 | 0.0082 | 0.0744 | 0.0018 | Skewness | 2.0477 | 1.2664 | 1.7262 | 1.5554 | Skewness | 2.0234 | 1.1964 | 1.9767 | 1.3557 | Kurtosis | 6.2403 | 4.3168 | 5.3520 | 5.3717 | Kurtosis | 6.0927 | 4.1452 | 6.1131 | 4.5256 | Jarque-Bera | 93.181 | 27.843 | 59.623 | 52.283 | Jarque-Bera | 88.634 | 24.043 | 86.513 | 33.071 | Probability | 0.0000 | 0.0000 | 0.0000 | 0.0000 | Probability | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
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