The COVID-19 Pandemic Effect on Risk and Return of Malaysian Tourism Industry
Table 1: Descriptive statistics and unconditional correlation
|
SR |
SD |
GARCH |
EGARCH |
Case |
Death |
Recover |
VAC |
GRSI |
Oil(1) |
ExR(1) |
INF(1) |
| Panel A |
|
| Mean |
0.001 |
0.028 |
0.006 |
0.072 |
5031.525 |
40.295 |
1.058 |
0.440 |
59.637 |
1.896 |
4.213 |
122.540 |
| Maximum |
2.5 |
2.9 |
0.696 |
207.959 |
33406 |
592 |
2.49 |
0.072 |
85.19 |
2.08 |
4.490 |
127.9 |
| Minimum |
0.4 |
0 |
0.015 |
0.001 |
0 |
0 |
0.52 |
69 |
11.11 |
1.25 |
4.011 |
117.6 |
| SD |
0.053 |
0.058 |
0.011 |
1.601 |
6924.433 |
76.7704 |
0.277 |
0.275 |
16.135 |
0.234 |
0.113 |
2.606 |
| Skew |
6.241 |
10.704 |
22.623 |
84.962 |
1.981958 |
3.097398 |
1.469 |
0.546 |
0.633 |
1.335 |
0.641 |
0.137 |
| Kurtosis |
209.816 |
349.251 |
1023.268 |
9950.208 |
6.341792 |
13.78991 |
7.243 |
1.662 |
3.043 |
3.685 |
2.642 |
2.375 |
| Variance |
0.003 |
0.003 |
0.0001 |
2.562 |
0.048 |
5893.694 |
0.077 |
0.757 |
260.359 |
0.055 |
0.012 |
6.791 |
| Obs |
30,432 |
30,432 |
30,432 |
30,432 |
30,432 |
30,432 |
30,432 |
30,432 |
30,432 |
30,432 |
30,432 |
30,432 |
| Panel B |
| SR |
1 |
|
|
|
|
|
|
|
|
|
|
|
| SD |
0.0023 |
1 |
|
|
|
|
|
|
|
|
|
|
| GARCH |
0.0293 |
0.0072 |
1 |
|
|
|
|
|
|
|
|
|
| EGARCH |
0.0022 |
0.0362 |
0.0855 |
1 |
|
|
|
|
|
|
|
|
| Case |
0.0117 |
0.0099 |
0.002 |
0.0016 |
1 |
|
|
|
|
|
|
|
| Death |
0.0199 |
0.0153 |
0.0075 |
0.0152 |
0.5883 |
1 |
|
|
|
|
|
|
| Recover |
0.0263 |
0.0003 |
0.0133 |
0.0322 |
0.2168 |
0.0021 |
1 |
|
|
|
|
|
| VAC |
0.003 |
0.0176 |
0.0072 |
0.0165 |
0.0989 |
0.1996 |
0.2099 |
1 |
|
|
|
|
| GRSI |
0.0067 |
0.0009 |
0.0146 |
0.0024 |
0.2017 |
0.4552 |
0.1919 |
0.8341 |
1 |
|
|
|
| Oil(1) |
0.0114 |
0.0043 |
0.002 |
0.0013 |
0.0058 |
0.008 |
0.0075 |
0.0801 |
0.0844 |
1 |
|
|
| ExR(1) |
0.0099 |
0.0054 |
0.0089 |
0.0083 |
0.2176 |
0.2606 |
0.1262 |
0.6973 |
0.7177 |
0.0313 |
1 |
|
| INF(1) |
0.02 |
0.0337 |
0.0062 |
0.0087 |
0.0536 |
0.3339 |
0.0107 |
0.5432 |
0.4651 |
0.0123 |
0.3358 |
1 |
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