Modeling Financial Time Series Based on a Market Microstructure Model with Leverage Effect

Table 2

Descriptive statistics for Shanghai composite index and Shenzhen component index.

Index	Mean	Standard deviation	Skewness	Kurtosis	Jarque-Bera statistics
Shanghai composite index	0.0233	1.552	−0.0835	9.172	2859.554
Shenzhen component index	−0.0000453	1.705	0.00312	8.362	2156.039