Table 2: Descriptive statistics of local high-low level and up-down duration.

statisticDJISP500FTSESTIBSESZCI

highmean0.0410.0360.0410.0490.0780.097
levelstd0.0270.0170.020.0350.050.091

lowmean−0.046−0.037−0.042−0.055−0.074−0.091
levelstd0.0460.0350.040.0550.0560.069

level range0.0870.0730.0830.1040.1520.188

upmean24.48923.42723.34923.46425.65323.685
durationstd13.43812.45212.93412.22513.63712.466

upmean27.81727.07328.28727.07125.22127.88
durationstd14.51115.07915.76216.30913.01713.871

duration cycle52.30650.551.63650.53550.87451.565

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