Table 4: OLE of up-down duration equation.

Panel A: Up duration equation ( )
Index -stat. value

DJI 3.029***0.011 0.002 0.511
0.0001
0.021
0.979
(12.058) (0.203) (0.034)
STI 3.080***−0.021 0.0007 0.514
0.0001
0.025
0.975
(6.466) (−0.220) (0.006)

Panel B: Down duration equation ( )
Index -stat. value

DJI 2.824***−0.023 0.085**0.536
0.023
3.620
0.028
(16.194) (−0.562) (2.107)
STI 3.988***−0.158 −0.130 0.593
0.035
1.485
0.233
(7.739) (−1.241) (−1.201)

Panel C: Duration equation
Index -stat. value

DJI 2.924***−0.023 0.085**0.116
0.008
2.413
0.090
(16.194) (−0.562) (2.107)
STI 3.555***−0.090 −0.071 0.553
0.012
1.041
0.355
(10.240) (−1.181) (−0.924)

Panel D: Asymmetry test
-stat. d.f. value

DJI 8.967 4 0.062
STI 4.340 4 0.362

Note: Asterisks ***, **, * indicate significance at the 1%, 5%, 10% level, respectively.
-statistics are given in parentheses beneath the parameter estimates.
Panel A: ln  .
Panel B: ln  .
Panel C: ;   ;   ;   .