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

Table 7

2×2 Contingent table.

			DJI			SP500			FTSE
		forecast 𝑅𝑡(1)			forecast 𝑅𝑡(1)			forecast 𝑅𝑡(1)
		Up	Down	Total	Up	Down	Total	Up	Down	Total
	Up	1594	782	2376	1216	505	1721	473	225	698
Trend 𝑅𝑡(1)	Down	797	1103	1900	591	885	1472	245	350	595
	Total	2391	1885	4276	1807	1386	3193	718	575	1293
			STI			BSE			SZCI
		forecast 𝑅𝑡(1)			forecast 𝑅𝑡(1)			forecast 𝑅𝑡(1)
		Up	Down	Total	Up	Down	Total	Up	Down	Total
	Up	468	203	671	319	202	521	423	143	566
Trend 𝑅𝑡(1)	Down	237	307	544	130	292	422	223	219	442
	Total	705	510	1215	449	494	943	646	362	1008