Does Tail Dependence Make A Difference In the ... - Boston College

Table 3: Summary Statistics for the unfiltered return series
DowJones Index Depository Insurance Broker-Dealer Others
Mean 0.0116 0.0396 0.0557 0.0472 0.0572
Std.dev 2.1113 2.8772 2.9194 4.4298 3.4317
Skewness 0.3022 0.7225 0.4246 1.3455 0.7839
Kurtosis 14.107 23.0947 27.9047 31.3129 25.5438
5%-VaR(left) -2.7719 -3.9201 -4.0153 -4.8486 -3.8385
5%-VaR(right) 2.7517 4.6253 4.5193 5.5541 4.0362
5%-ES(left) -0.2496 -0.3258 -0.3275 -0.3693 -0.3864
5%-ES(right) 0.2655 0.3616 0.3591 0.4283 0.4352
P-Value
Jarque-Bera 0.0000 0.0000 0.0000 0.0000 0.0000
Ljung-Box 0.0001 0.0137 0.2187 0.0225 0.1909
This table provides summary statistics on the daily holding period return of some major US financial institutions
and DowJones U.S. Financial Index for the period from 2000/01/03 until 2011/12/30. For each category, we report
the average value across all institutions about the mean,the standard deviation, the skewness, the kurtosis, the 5%
VaR and ES for the left and right tail of distribution. The second last row gives the median over all institutions of
p-value of Jarque-Bera test for normality. and the last row reports the median of p-value for the Ljung-Box test
with m = log(T ) lags.
Table 4: Summary Statistics on Parameter Estimates(medians)
DowJones Index Depository Insurance Broker-Dealer Others
Panel A: GARCH Model σt 2 = ω + αe 2 t−1 + γe 2 t−1I (ei,t−1