Long Memory and Fractality in the Universe of Volatility Indices
Table 1
Descriptive statistics for the levels of the nine CBOE volatility indices.
Volatility index
Mean
Max
Min
SD
Skewness
Kurtosis
Jarque–Bera
ADF test
VIX
23.148
82.690
13.750
8.199
1.934
8.360
6106.486
−4.468
VXN
22.046
80.640
10.310
9.324
2.318
10.449
10758.400
−5.022
VXO
19.790
93.850
6.320
10.650
2.498
11.674
14004.380
−5.067
VXD
18.877
74.600
7.580
8.867
2.442
10.562
11323.660
−4.212
RVX
24.975
87.620
11.830
10.965
2.037
8.020
5842.102
−4.355
VPD
248.506
500.010
69.260
99.828
0.367
2.246
154.767
−1.232
OVX
37.975
325.150
14.500
19.209
4.463
39.260
194874.000
−5.333
VVIX
90.860
207.590
59.740
15.508
1.527
8.245
5147.311
−9.48
SKEW
125.401
159.030
107.230
8.285
0.702
3.146
278.5628
−8.681
Note: the sample period is October 5, 2007, to October 5, 2020, yielding 3,354 daily observations. denotes significance at the 5% level. ADF test is conducted with intercept.
