A Nonlinear Approach to Quantifying Investor Fear in Stock Markets of BRIC

Table 1

Summary statistics.

	Mean	SD	Skewness	Kurtosis	Normtest W	ADF	KPSS
BRIC	0.0002	0.0126	−0.6276	6.0673	0.9296	−10.429	0.0860
Russia	0.0000	0.0176	−0.9869	9.6720	0.9132	−11.1400	0.1614
India	0.0004	0.0146	−1.1346	11.3683	0.9023	−10.8560	0.0548
China	0.0003	0.0161	−1.3376	13.8307	0.8744	−11.1930	0.0740
VIX	0.0000	0.0888	1.0615	7.9000	0.9063	−12.7400	0.0118

, , and Significance at 10%, 5%, and 1% levels respectively.