Model Calibration and Validation for the Fuzzy-EGARCH-ANN Model

Table 2

Statistical properties of daily S&P 500 log return data.

Statistical properties of daily S&P 500 log return data
Min.	−0.043 945
Max.	0.045 966
Mean	−0.000 355
Median	−0.000 228
Variance	0.000 060
Skewness	−0.802 855
Kurtosis	8.347 911
Arch test	value = 2.2 204e − 16
Jarque–Bera test (for alpha = 0.05)	value = 0
ADF test	value = 1.0 000e-03
PP test	value = 1.0 000e-03