Whole period (03/01/2002-08/05/2020)
	AUD	CAD	CHF	EUR	GBP	JPY	NZD	GOLD	OIL	CSFB	VIX
Mean	-1.75E-05	1.39E-05	-1.85E-05	-2.34E-05	-4.46E-05	3.75E-06	-1.50E-05	0.000149	7.55E-06	4.55E-05	5.56E-05
Std. Dev.	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.01	0.01	0.03
Skewness	-0.38	0.12	-4.96	0.09	-0.91	-0.03	-0.32	-0.35	0.23	0.15	1.04
Bai &Ng test	1.86	3.29	1.06	4.63	1.27	3.09	2.40	3.66	2.01	2.74	2.34
	(0.03)	(0.00)	(0.14)	(0.00)	(0.10)	(0.00)	(0.00)	(0.00)	(0.02)	(0.00)	(0.00)
Ljung- Box test	(0.66)	(0.87)	(0.39)	(0.89)	(0.96)	(0.80)	(0.53)	(0.88)	(0.00)	(0.01)	(0.00)
Jarque-Bera	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)
GFC period (01/04/2007-05/08/2011)
	AUD	CAD	CHF	EUR	GBP	JPY	NZD	GOLD	OIL	CSFB	VIX
Mean	8.44E-05	-5.77E-05	-0.000182	2.26E-05	-7.36E-05	-0.000159	4.93E-05	0.000361	8.02E-05	-0.000107	0.000457
Std. Dev.	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.01	0.01	0.03
Skewness	-0.42	0.18	-0.28	0.08	-0.41	0.12	-0.39	-0.15	0.11	0.32	0.64
Bai &Ng test	1.93	2.75	1.92	3.00	3.17	1.86	1.84	2.89	3.34	3.62	3.07
	(0.02)	(0.00)	(0.02)	(0.00)	(0.00)	(0.03)	(0.03)	(0.00)	(0.00)	(0.00)	(0.00)
Ljung-Box test	(0.72)	(0.87)	(0.94)	(0.54)	(0.66)	(0.49)	(0.86)	(0.58)	(0.04)	(0.01)	(0.02)
Jarque-Bera	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)
COVID-19 crisis period (24/01/2020-08/05/2020)
	AUD	CAD	CHF	EUR	GBP	JPY	NZD	GOLD	OIL	CSFB	VIX
Mean	-0.000438	0.000322	-7.36E-05	-0.000102	-0.000183	-8.92E-05	-0.000497	0.000695	-0.006318	-0.001210	0.005768
Std. Dev.	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.02	0.03	0.05
Skewness	-1.21	0.71	0.23	-0.34	-0.67	0.66	-1.10	-0.39	-0.53	-0.32	1.15
Bai &Ng test	1.71	1.75	1.93	2.40	3.57	1.86	1.21	2.08	3.31	3.64	3.01
	(0.02)	(0.00)	(0.02)	(0.00)	(0.01)	(0.03)	(0.03)	(0.00)	(0.01)	(0.00)	(0.01)
Ljung-Box test	(0.62)	(0.78)	(0.84)	(0.43)	(0.53)	(0.51)	(0.86)	(0.41)	(0.04)	(0.01)	(0.02)
Jarque-Bera	(0.00)	(0.00)	(0.01)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)	(0.00)