Asymmetry in the Prediction of Cojumps on Volatility and Its Reversal

Table 11

Descriptive statistics of cojumps covariance of the SSE Composite Index.

LOG(+1)	MA	EL	FI	EN	CO	ME
Mean	4.90e − 05	4.98e − 05	4.22e − 05	3.88e − 05	3.31e − 05	2.71e − 05
Max	0.005521	0.006014	0.005515	0.006397	0.006082	0.004531
Min	−3.28e − 05	−0.000165	−0.000260	0.000000	−7.65e − 05	−0.000122
Std. dev	0.000300	0.000315	0.000262	0.000284	0.000264	0.000222
Skewness	13.44008	12.50041	14.47060	16.02237	16.31177	16.20961
Kurtosis	215.3063	191.3363	250.2250	307.8696	314.9918	298.9384
J-B	2192509	1728078	2966230	4498925	4711052	4243188
ADF	−16.5461	−13.9181	−17.1582	−16.1420	−15.7680	−14.7120
Q(5)	177.87	189.16	105.01	81.107	174.40	102.94
Q(10)	253.77	306.69	116.53	117.97	196.89	128.88
Q(20)	319.31	418.01	126.83	127.83	201.38	141.30

Note: MA, EL, FI, EN, CO, and ME represent the logarithmic cojumps covariance of the SSE material, telecommunication, finance, energy, consumption, and medicine sector indices, respectively; , , and represent significance at the 1%, 5%, and 10% levels, respectively.