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Yemen<br />

Stand.dev. 0.0724 0.0154 0.0719<br />

t-stat (<strong>the</strong>oretical and observed H/H0) 6.4576 -1.3011<br />

1991 0.0219 3.17 1.1618 1.0406<br />

1992 0.0151 3.17 1.1103 1.0283<br />

1993 0.0115 3.17 1.0829 1.0215<br />

1994 0.0119 3.17 1.0860 1.0223<br />

1995 0.0097 3.17 1.0701 1.0183<br />

1996 0.0109 3.17 1.0785 1.0204<br />

1997 0.0126 3.17 1.0916 1.0237<br />

1998 0.0125 3.17 1.0904 1.0234<br />

1999 0.0126 3.17 1.0911 1.0236<br />

2000 0.0131 3.17 1.0952 1.0246<br />

2001 0.0120 3.17 1.0871 1.0226 1.0514<br />

2002 0.0134 3.17 1.0974 1.0251 1.0838<br />

2003 0.0139 3.17 1.1010 1.0260 1.1171<br />

2004 0.0157 3.17 1.1145 1.0293 1.1171<br />

Mean 1.0970 1.0250 1.0924<br />

Stand.dev. 0.0220 0.0054 0.0315<br />

t-stat (<strong>the</strong>oretical and observed H/H0) 0.2758 -4.2616<br />

Risk neutral summary table<br />

Country Statistics<br />

Algeria<br />

Egypt<br />

Jordan<br />

Libya<br />

H/H0 Theoretical<br />

gamma 0.73<br />

H/H0<br />

Theoretical<br />

gamma 0.25<br />

H/H0 Observed<br />

Mean 1.1531 1.0374 1.2745<br />

Stand.dev. 0.1003 0.0230 0.1123<br />

t-stat -2.7295 -6.5780<br />

Stand.dev. 0.0329 0.0030 0.2206<br />

t-stat -5.5113 -6.1636<br />

Mean 1.6570 1.1503 1.1495<br />

Stand.dev. 0.1429 0.0252 0.0553<br />

t-stat 11.4420 0.0327<br />

Stand.dev. 1.0354 0.1060 0.0242<br />

t-stat 5.7173 7.6250<br />

Stand.dev. 0.4818 0.0447 0.0502<br />

t-stat 13.8425 9.6749<br />

Mean 1.3826 1.0614 1.3854<br />

Stand.dev. 0.0248 0.0030 0.2457<br />

t-stat -0.0357 -4.1703<br />

Stand.dev. 0.0334 0.0017 0.0221<br />

t-stat 4.1789 -3.2897<br />

Stand.dev. 0.3367 0.0115 0.0074<br />

t-stat 15.8235 26.9164<br />

Mean 1.7572 1.1490 1.2489<br />

Stand.dev. 0.2584 0.0393 0.0766<br />

t-stat 7.0356 -4.2113<br />

Morocco Mean 1.4113 1.0899 1.0971<br />

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