Dynamic Spillover Effects between the US Stock Volatility and China’s Stock Market Crash Risk: A TVP-VAR Approach

Table 1

Descriptive statistics.

Variable	Mean	Median	Max	Min.	Std. dev.	Obs.
NCSKEW	0.0460	0.0403	2.8567	−2.7810	1.0706	240
DUVOL	0.0362	0.0890	3.3012	−3.2811	1.2063	240
CF	−10.2659	−3.1964	34.9066	−117.1541	24.8748	240
E	7.1976	6.8480	8.2795	6.1043	0.8230	240
SPR	0.4620	0.7611	10.6047	−14.0604	4.0458	240
DJIAR	0.4174	0.9598	10.7723	−16.9425	4.1840	240
SPV	3.9364	3.5800	8.1291	2.4051	1.1631	240
DJIAV	4.0053	3.5626	9.9925	2.1000	1.5080	240