Table 5: MLE of trend equation.

Panel A: up trend equation ( )
Index -stat. value

DJI 0.0007***−0.0080 0.671***0.011
0.018
67.954
0.001
(2.956) (−0.674) (11.606)
STI 0.0004 0.013 0.893***0.012
0.040
42.387
0.001
(0.097) (0.574) (8.840)

Panel B: down trend equation ( )
Index -stat. value

DJI −0.001***−0.113***0.538***0.012
0.0150
64.694
0.001
(−3.926) (−9.761) (6.605)
STI −0.002***0.008 0.227*0.013
0.0017
1.965
0.140
(−3.759) (0.389) (1.925)

Panel C: trend equation
Index -stat. value

DJI 0.0265***0.012 0.00111.334
0.001
(−0.019) (3.367)
STI 0.124 ***0.013
0.015
67.537
0.001
(−0.067) (8.218)

Panel D: nonlinearity Test
-stat. d.f. value

DJI 1035.713 5 0.001
STI 300.714 5 0.001

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