Research Article
A Trend-Switching Financial Time Series Model with Level-Duration Dependence
Table 2
Descriptive statistics of local high-low level and up-down duration.
| | statistic | DJI | SP500 | FTSE | STI | BSE | SZCI |
| high | mean | 0.041 | 0.036 | 0.041 | 0.049 | 0.078 | 0.097 | level | std | 0.027 | 0.017 | 0.02 | 0.035 | 0.05 | 0.091 |
| low | mean | −0.046 | −0.037 | −0.042 | −0.055 | −0.074 | −0.091 | level | std | 0.046 | 0.035 | 0.04 | 0.055 | 0.056 | 0.069 |
| | level range | 0.087 | 0.073 | 0.083 | 0.104 | 0.152 | 0.188 |
| up | mean | 24.489 | 23.427 | 23.349 | 23.464 | 25.653 | 23.685 | duration | std | 13.438 | 12.452 | 12.934 | 12.225 | 13.637 | 12.466 |
| up | mean | 27.817 | 27.073 | 28.287 | 27.071 | 25.221 | 27.88 | duration | std | 14.511 | 15.079 | 15.762 | 16.309 | 13.017 | 13.871 |
| | duration cycle | 52.306 | 50.5 | 51.636 | 50.535 | 50.874 | 51.565 |
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Note: level range = mean of local high level − mean of local low level, duration cycle = mean of up duration + mean of down duration.
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