Estimating Time-Varying Beta of Price Limits and Its Applications in China Stock Market

Table 6

The statistics of 𝛿_𝑖 estimated by Censored-SS model.

	Large corporations	Small corporations
	𝛿𝑖
Mean	1.02𝐸−05	−4.20𝐸−05
Maximum	6.20𝐸−05	4.56𝐸−05
Minimum	−4.71𝐸−05	−0.00021
Standard deviation	3.85𝐸−05	7.26𝐸−05
Greater than 0	6	3
Less than 0	4	7
	𝛿𝑖
Mean	3.43𝐸−05	4.89𝐸−05
Maximum	6.20𝐸−05	0.00021
Minimum	5.18𝐸−06	6.54𝐸−06
Standard deviation	1.71𝐸−05	6.77𝐸−05
Greater than 0
Less than 0