Dynamic Implied Risk Aversion Term Structure: An Empirical Analysis Based on Shanghai Stock Exchange 50 ETF Option

Table 4

Basic statistical characteristics of the implied risk aversion term structure.

Maturity	Mean	Max	Min	SD	Skewness	Kurtosis
1-month	1.6395	4.3178	−0.1348	1.3923	0.5691	1.8442
2-month	1.0923	3.4324	−2.2127	1.5207	−0.0320	1.9632
3-month	1.2739	4.0173	−2.6677	2.0858	−0.2247	1.7122
4-month	0.6915	5.7149	−4.9407	3.0931	−0.0648	1.9622
5-month	0.6645	7.4929	−4.3630	3.7549	0.5039	2.0677
6-month	0.5984	8.1275	−3.6356	3.3637	0.7739	2.3365
Principal component
First principal component	−1.61E−16	3.6847	−3.8041	2.3616	0.2576	1.8506