Estimation for a Second-Order Jump Diffusion Model from Discrete Observations: Application to Stock Market Returns

Table 3

Parameter estimates for stocks.

Stock	N								ln
Alcoa	1257	0.1713	−257.9342	0.6380	23.9529	-0.0156	0.0972	0.1135	1718.1
		(0.3494)	(7.7857)	(0.0588)	(3.9444)	(0.0167)	(0.0164)	(0.0540)
		0.0504	−258.9853	0.9154	23.2125	−0.0056			1690.0
		(0.3294)	(8.6151)	(0.0465)	(8.7870)	(0.0165)
American	1251	−0.2182	−256.5039	0.1810	75.6013	-0.0038	0.0646	0.4051	1873.8
Express		(0.1785)	(8.6131)	(0.0514)	(16.0989)	(0.0054)	(0.0051)	(0.1017)
		−0.3313	−258.0656	0.5884	83.6826	0.00458			1830.2
		( 0.4116)	(9.2299)	(0.0341)	(12.5241)	(0.0048)
Boeing	1257	−0.2355	−265.9633	0.4276	52.2001	-0.0069	0.0885	0.1011	1899.7
		(0.4224)	(7.7640)	(0.0655)	(5.9056)	(0.0067)	(0.0257)	(0.0760)
		0.0139	−263.8557	0.5745	72.6873	−0.0086			1875.6
		(0.3656)	(8.8101)	(0.0303)	(12.8031)	(0.0056)
Coca Cola	1257	0.0434	−249.5004	0.1210	48.5000	-0.0062	0.0580	0.3086	2263.1
		(0.2459)	(7.9359)	(0.0210)	(6.1083)	(0.0050)	(0.0048)	(0.0611)
		−0.0280	−248.9476	0.3378	79.3847	−0.0103			2195.1
		(0.1851)	(9.1881)	(0.0197)	(12.1064)	(0.0042)
Disney	1257	−0.2449	−260.6646	0.5405	57.6146	0.0107	0.1658	0.0312	1812.0
		(0.9548)	(7.7072)	(0.0377)	(10.0298)	(0.0064)	(0.0326)	(0.0141)
		−0.2363	−254.5632	0.7399	50.7316	0.0287			1741.8
		(1.0434)	(7.8464)	(0.0664)	(20.1801)	(0.0091)
General	1257	0.0495	−257.2053	0.2935	47.9844	0.0058	0.0779	0.1955	1969.8
Electric		(0.1662)	(8.1046)	(0.0431)	(7.8468)	(0.0070)	(0.0092)	(0.0664)
		−0.2494	−260.3366	0.5816	52.8035	0.0048			1914.5
		( 2.0980)	(117.4492)	(0.1926)	(13.7811)	(0.0130)
Johnson	1257	−0.3607	−257.3816	0.2195	69.4946	0.0032	0.1207	0.0244	2368.4
&Johnson		(0.0753)	(7.2543)	(0.0176)	(4.0190)	(0.0041)	(0.0356)	(0.0161)
		−0.4890	−255.5323	0.2457	112.3180	0.0110			2314.9
		(0.0743)	(8.9071)	(0.0162)	(23.3878)	(0.0029)
JP Morgan	1256	0.3209	−257.6896	0.4855	42.1887	0.0162	0.1640	0.0892	1722.0
		(0.2897)	(6.8796)	(0.0443)	(7.8642)	(0.0088)	(0.0180)	(0.0252)
		0.1524	−260.0101	1.0547	42.8909	−0.0307			1554.2
		(1.1554)	(21.8999)	(0.0803)	(92.4838)	(0.0503)
Microsoft	1257	0.4073	−267.0635	0.5217	52.5552	0.0041	0.3059	0.0370	1761.8
		(0.3472)	(8.1481)	(0.0452)	(11.3793)	(0.0069)	(0.0491)	(0.0119)
		0.6737	−267.9022	0.6690	264.2013	−0.0316			1476.4
		(0.1681)	(11.8308)	(0.0409)	(31.7660)	(0.0036)

Indicates significance at 1% level.
Standard errors of maximum likelihood estimates are in parentheses.