Table 1 Descriptive statistics for returns.

From: Impact of global crisis events on the dependence and risk spillover between gold and crude oil: a regime-switching copula approach

 

Gold

Crude oil

Mean

0.0003

0.0001

SD

0.0094

0.0270

Skewness

−0.1686

−1.3717

Kurtosis

4.5953

19.0057

Min.

−0.0511

−0.2798

Median

0.3563

0.0022

Max.

0.0578

0.1908

ARCH-LM test(10)

233.8091***

249.4934***

ARCH-LM test(20)

359.127***

514.4497***

  1. Note: The data in the table include 1,547 trading days from 2018 to 2023. The null hypothesis of the autoregressive conditional heteroskedasticity (ARCH)-Lagrange multiplier (LM) test is that there is no ARCH effect; 10 and 20 are the lag orders; and *, **, and *** represent significance at the 10%, 5%, and 1% levels, respectively.
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