Asymmetry in the Prediction of Cojumps on Volatility and Its Reversal

Table 2

Descriptive statistical characteristics of covariance of cojumps.

LOG(+1)	JCOV	JCOV+	JCOV−
Mean	−6.878297	−6.895864	−6.890095
Max	−5.120204	−5.193353	−5.120204
Min	−6.999377	−6.907755	−6.907755
Std. dev	0.135385	0.075106	0.114341
Skewness	9.096642	15.444781	11.216561
Kurtosis	98.845932	297.621003	146.063904
J-B	454849.2	4193991	1002217
ADF	−16.35581	21.524	−19.86904
Q(5)	154.221	22.186	44.609
Q(10)	161.711	22.186	50.674
Q(20)	168.362	25.766	56.737

, , and represent significance at the 1%, 5%, and 10% levels, respectively.