Research Article
A Trend-Switching Financial Time Series Model with Level-Duration Dependence
Table 4
OLE of up-down duration equation.
| | | Panel A: Up duration equation () | | | Index | | | | | | -stat. | value |
| DJI | 3.029*** | 0.011 | 0.002 | 0.511
| 0.0001
| 0.021
| 0.979 | (12.058) | (0.203) | (0.034) | STI | 3.080*** | −0.021 | 0.0007 | 0.514
| 0.0001
| 0.025
| 0.975 | (6.466) | (−0.220) | (0.006) |
| | | Panel B: Down duration equation () | | | Index | | | | | | -stat. | value |
| DJI | 2.824*** | −0.023 | 0.085** | 0.536
| 0.023
| 3.620
| 0.028 | (16.194) | (−0.562) | (2.107) | STI | 3.988*** | −0.158 | −0.130 | 0.593
| 0.035
| 1.485
| 0.233 | (7.739) | (−1.241) | (−1.201) |
| | | Panel C: Duration equation | | | Index | | | | | | -stat. | value |
| DJI | 2.924*** | −0.023 | 0.085** | 0.116
| 0.008
| 2.413
| 0.090 | (16.194) | (−0.562) | (2.107) | STI | 3.555*** | −0.090 | −0.071 | 0.553
| 0.012
| 1.041
| 0.355 | (10.240) | (−1.181) | (−0.924) |
| | | Panel D: Asymmetry test | | | | -stat. | d.f. | value | | | | |
| DJI | 8.967 | 4 | 0.062 | | | | | STI | 4.340 | 4 | 0.362 | | | | |
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Note: Asterisks ***, **, * indicate significance at the 1%, 5%, 10% level, respectively. -statistics are given in parentheses beneath the parameter estimates. Panel A: ln . Panel B: ln . Panel C: ; ; ; .
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