Volatility Risk Premium, Return Predictability, and ESG Sentiment: Evidence from China’s Spots and Options’ Markets

Table 1

Summary statistics of 5-min realized and implied volatility series.

	Mean	Median	Maximum	Minimum	Std. dev.	Skewness	Kurtosis	Observations
Panel A: Daily
RVOL	0.1631	0.1529	0.3505	0.0698	0.0594	0.9546	3.5484	1217
HVOL	0.1635	0.1541	0.3505	0.0698	0.0595	0.9346	3.5090	1217
BSVOL	0.1819	0.1724	0.4696	0.0397	0.0651	0.5307	3.2149	1217
MFVOL	0.1936	0.1934	0.3668	0.0719	0.0451	0.0894	2.9170	1217
Panel B: Monthly
RVOL	0.1672	0.1521	0.3505	0.0754	0.0668	1.0680	3.5802	60
HVOL	0.1630	0.1581	0.3303	0.0744	0.0587	1.0371	3.7859	60
BSVOL	0.1878	0.1759	0.3142	0.0621	0.0650	0.1937	2.1043	60
MFVOL	0.1850	0.1877	0.2638	0.1024	0.0385	-0.2619	2.3266	60