An Empirical Analysis of Oil and Stock Markets’ Volatility Based on the DGC-MSV-t Model

Table 1

Descriptive statistics.

	CF	CS	AF	AS	BF	BS	SH	SP
Mean	0.007066	−0.016718	−0.009444	0.037478	0.053494	−0.003176	−0.013046	−0.016233
Median	0.1419	0.19485	−0.016166	0.188739	0.093134	0.069478	0.261294	0.1252
Maximum	7.6421	13.2578	5.449262	5.662818	3.375938	11.87335	11.73237	13.50267
Minimum	−6.8208	−8.233565	−5.745464	−7.801777	−3.341992	−6.449077	−6.95906	−8.724438
Std. dev.	1.774179	2.127198	1.249691	2.097212	0.874198	2.122889	1.913911	2.247643
Skewness	−0.200496	0.105674	−0.267382	−0.398778	−0.587087	0.228817	−0.096954	0.127722
Kurtosis	4.143846	8.020451	5.915742	3.584046	5.550272	5.622979	7.526002	7.496187
Jarque–Bera	24.30266	417.6704	145.3603	16.16461	130.3908	117.2713	339.4729	335.4807