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

Table 4

Parameter estimates for stock indexes.

Stock index	N								ln
CAC40	2798	0.2383	−257.6798	0.1330	54.8009	0.0116	0.0627	0.1645	5376.7
		( 0.1155)	(4.9044)	(0.0103)	(5.0972)	(0.0029)	(0.0043)	(0.0285)
		−0.0615	−257.9421	0.2687	82.9046	0.0093			5204.4
		( 0.0978)	(6.3565)	(0.0104)	(7.5923)	(0.0024)
DAX	2785	0.2784	−255.8185	0.1555	57.6903	0.0127	0.0645	0.1652	5164.5
		( 0.2202)	(24.7216)	(0.0167)	(17.3980)	(0.0031)	(0.0039)	(0.0300)
		−0.0118	−252.6514	0.2919	86.8931	0.0124			5024.1
		( 0.1394)	(6.1700)	(0.0110)	(9.5216)	(0.0023)
DJIA	2703	0.1067	−210.7317	0.0590	47.0208	0.0082	0.0430	0.1481	6373.6
		( 0.0605)	(5.4284)	(0.0048)	(8.5147)	(0.0021)	(0.0035)	(0.0263)
		0.0699	−211.6276	0.1050	66.2194	0.0168			6214.8
		( 0.1136)	(5.6852)	(0.0041)	(8.1033)	(0.0022)
FTSE100	2713	−0.1870	−260.5673	0.0649	61.1198	−0.0018	0.0379	0.3053	5841.7
		(0.3935)	(9.5712)	(0.0387)	(31.0472)	(0.0030)	(0.0084)	(0.2009)
		−0.1749	−264.5221	0.1641	79.7363	−0.0028			5730.4
		( 0.4693)	(18.1376)	(0.0456)	(65.8072)	(0.0018)
HANGSENG	2702	0.1166	−245.2607	0.1369	41.1688	0.0186	0.0655	0.2412	4863.4
		( 1.5002)	(7.6386)	(0.1075)	(8.8111)	(0.0167)	(0.0125)	(0.1701)
		−0.0341	−238.4197	0.3550	81.9699	0.0035			4683.4
		(0.1558)	(6.8947)	(0.0132)	(12.5799)	(0.0028)
NASDAQ	2767	0.4242	−253.6221	0.1810	66.7837	0.0047	0.0658	0.2204	4740.6
		(0.1197)	(6.3600)	(0.0143)	(9.0416)	(0.0033)	(0.0043)	(0.0312)
		−0.3926	−255.9448	0.3824	91.8324	0.0070			4621.3
		( 0.0814)	(7.9904)	(0.0177)	(19.2416)	(0.0028)
SP500	2804	0.1679	−261.8900	0.0441	24.8916	0.0235	0.0360	0.4098	6122.3
		(0.1935)	(5.3790)	(0.0108)	(4.8198)	(0.0050)	(0.0022)	(0.0706)
		−0.0194	−261.4696	0.1745	43.5322	0.0093			5983.2
		(0.1217)	(5.5881)	(0.0072)	(4.1993)	(0.0031)
SPASX200	2870	0.2102	−257.0073	0.0570	71.0473	0.0061	0.0514	0.0785	6951.4
		(0.1332)	(6.5243)	(0.0035)	(6.9430)	(0.0014)	(0.0052)	(0.0180)
		0.0966	−253.5373	0.0908	112.8947	0.0093			6756.5
		(0.0567)	(6.6217)	(0.0034)	(8.9553)	(0.0011)
SMI	2704	0.1878	−255.8562	0.0000	0.1737	0.8342	0.0526	0.1877	5684.6
		(0.1344)	(4.5107)	(0.0386)	(0.0315)	(0.1503)	(0.0037)	(0.0266)
		0.0394	−247.5534	0.1492	113.4965	0.0079			5664.6
		(0.1479)	(6.3341)	(0.0062)	(12.8102)	(0.0014)
TWII	2639	−0.0621	−240.4190	0.1094	21.5185	0.0008	0.0508	0.4276	4836.2
		(0.1073)	(5.0817)	(0.0153)	(3.9170)	(0.0065)	(0.0023)	(0.0457)
		−0.0273	−245.3496	0.3676	31.7291	0.0037			4717.1
		(0.4595)	(5.6751)	(0.0111)	(2.9732)	(0.0056)

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