Improving Forecasts of the EGARCH Model Using Artificial Neural Network and Fuzzy Inference System

Table 3

Statistical properties of the residual data.

Statistical properties of residual data
Min.	−0.362951
Max.	0.368273
Mean	−0.000000
Median	−0.002849
Variance	0.011601
Skewness	−0.012069
Kurtosis	3.014560
Arch test	value = 6.1696e − 07
Jarque–Bera test (for alpha = 0.05)	value = 0.983

Mean   median usually flags left skewness. Negative skewness means left-skewed data. Kurtosis >3 means larger peakedness than Gaussian. Arch test result with very small value implies existence of strong heteroskedasticity. Jarque–Bera test result with very big value implies that the residual series strongly follows the normal distribution.