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:
;
;
;
.