Time-Frequency Volatility Spillovers among Major International Financial Markets: Perspective from Global Extreme Events

Table 1

Descriptive statistics.

	Mean	Median	SD	Skew	Kurtosis	LB test	JB test	ADF
USA	0.0006	0.0009	0.0146	1.0581	18.8107	214.62	8693.95	8.2276
UK	0.0001	0.0008	0.0148	1.0582	19.2151	38.826	9136.44	29.2390
JPN	0.0001	0.0003	0.0116	0.0124	7.2957	23.051	630.49	28.5190
GER	0.0001	0.0008	0.0156	0.8347	19.3398	27.478	9217.30	28.1852
FRA	0.0003	0.0009	0.0156	1.0361	17.6927	28.629	7522.44	28.4149
CHN	0.0000	0.0004	0.0164	0.2869	10.0911	22.803	1729.29	26.0386
Oil	0.0010	0.0020	0.0277	0.6767	14.5075	83.656	4587.00	39.3932
Gold	0.0004	0.0011	0.0097	0.7094	6.7434	22.631	547.55	26.8155
Gas	0.0268	0.0200	0.0257	2.2037	10.5218	177.06	2593.61	8.5760

Note., , and denote the null hypothesis rejection at 1%, 5%, and 10%, respectively.