Research Article
A Trend-Switching Financial Time Series Model with Level-Duration Dependence
Table 1
The periods of estimating subsample (ES) and predicting subsample (PS).
| | Index | ES | Sizes | PS | Sizes |
| | DJI | 1928.10.01–1993.08.26 | 16286 | 1993.08.27–2010.08.18 | 4276 | | SP500 | 1950.01.03–1997.12.04 | 12062 | 1997.12.05–2010.08.18 | 3193 | | FTSE | 1984.04.02–2005.07.07 | 5372 | 2005.07.08–2010.08.18 | 1293 | | STI | 1987.12.28–2005.10.12 | 4445 | 2005.10.13–2010.08.18 | 1215 | | BSE | 1990.01.01–2006.10.17 | 3932 | 2006.10.18–2010.08.18 | 943 | | SZCI | 1991.04.03–2006.07.04 | 3757 | 2006.07.05–2010.08.18 | 1008 |
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