Research Article
Modeling Financial Time Series Based on a Market Microstructure Model with Leverage Effect
Table 3
Empirical estimation results for two indices.
| Index | Parameter | Mean | SD | MC error | 2.5 percentile | Median | 97.5 percentile |
| Shanghai composite index | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Shenzhen component index | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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