Modeling Financial Time Series Based on a Market Microstructure Model with Leverage Effect

Table 7

DIC vales of two models for three indices.

Model	Index			DIC
The leverage SV model	Shanghai composite index	−10944.0	285.6	−10658.4
	Shenzhen component index	−10501.2	202.7	−10298.5
	S&P500	−17170.7	965.4	−16205.3
The leverage market; microstructure model	Shanghai composite index	−12703.9	1313.4	−11390.5
	Shenzhen component index	−13257.3	1560.0	−11697.3
	S&P500	−18952.9	1936.0	−17016.9