A Trend-Switching Financial Time Series Model with Level-Duration Dependence

Table 2

Descriptive statistics of local high-low level and up-down duration.

	statistic	DJI	SP500	FTSE	STI	BSE	SZCI
high	mean	0.041	0.036	0.041	0.049	0.078	0.097
level	std	0.027	0.017	0.02	0.035	0.05	0.091
low	mean	−0.046	−0.037	−0.042	−0.055	−0.074	−0.091
level	std	0.046	0.035	0.04	0.055	0.056	0.069
	level range	0.087	0.073	0.083	0.104	0.152	0.188
up	mean	24.489	23.427	23.349	23.464	25.653	23.685
duration	std	13.438	12.452	12.934	12.225	13.637	12.466
up	mean	27.817	27.073	28.287	27.071	25.221	27.88
duration	std	14.511	15.079	15.762	16.309	13.017	13.871
	duration cycle	52.306	50.5	51.636	50.535	50.874	51.565

Note: level range = mean of local high level − mean of local low level, duration cycle = mean of up duration + mean of down duration.