*The Independence of Indexed Volatilities DOI: http://dx.doi.org/10.5772/intechopen.90240*


**Table 1.**

*Descriptive statistics.*

3.68%. All five countries exceed the kurtosis of 3 and with the exception of Brazil and Russia, the data is positively skewed.

For commodities indicated in panel 3, Russia reports the highest maximum of 163.37% in returns, while India reports the lowest at 7.68%. Russia commodity stocks are more volatile with a standard deviation of 19.87% and the Chinese stocks are the least volatile at the standard deviation of 2.02% All countries exceed the kurtosis of 3 and the data is negatively skewed with the exception of Brazil and South Africa. In the bonds market indicated in panel 4, India has the highest return at 51.13% while China has the lowest maximum return at 6.61%. India is also the most volatile with a standard deviation of 6.50% and China. The data is also leptokurtic and is negatively skewed with the exception of Brazil. JB values in all panels (i.e. 1–4) illustrate that the four indices are abnormal and that can be interpreted as the presence of shocks. In [6], the same view on JB values was stated. The skewness values show that some countries have negative skews while others have positive skews for different capital markets. That mixture of different skewness assist in hedging volatility while positive skewness assist in generating high

alpha and/or arbitrage opportunities. The former phenomenon is ideal for risk managers while the latter phenomenon is suitable for intraday investors-traders.
