Table 1 Statistical properties of series
From: Price and volatility persistence of the US REITs market
| Â | Logged series | Squared returns | ||
|---|---|---|---|---|
| Â | Price index | Market index | Price index | Market index |
Mean | 5.2094 | 8.2775 | 0.0003 | 0.0003 |
Maximum | 5.7701 | 9.4142 | 0.0485 | 0.0485 |
Minimum | 4.1955 | 6.9613 | 0.0000 | 0.0000 |
Std. Dev | 0.3711 | 0.7021 | 0.0015 | 0.0014 |
Skewness | −0.4285 | −0.1952 | 14.2627 | 15.1599 |
Kurtosis | 1.8771 | 1.7142 | 297.7288 | 336.6815 |
Jarque–Bera | 439.7546 | 453.3688 | 19,318,551 | 28,182,601 |
(Prob.) | (0.0000) | (0.0000) | (0.0000) | (0.0000) |
Observation | 5289 | 6026 | 5288 | 6025 |