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

Table 8

Forecast of the directions of trend and its test.

	DJI	SP500	FTSE	STI	BSE	SZCI
𝑀11/𝑀10	0.671	0.707	0.678	0.698	0.612	0.747
𝑀22/𝑀20	0.581	0.599	0.588	0.564	0.692	0.496
(𝑀11+𝑀22)/𝑀	0.631	0.657	0.637	0.638	0.648	0.637
𝜒^2	270.697	300.586	91.954	84.546	86.514	63.584
𝑃 value	<0.001	<0.001	<0.001	<0.001	<0.001	<0.001