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

Table 9

The statistic DM and its test with window radius 𝑤=20.

	DJI	SP500	FTSE	STI	BSE	SZCI
DM	−4.524	−4.612	−2.207	−2.793	−2.659	−3.060
𝑃 value	<0.001	<0.001	0.014	0.003	0.004	0.001