Research Article
A Trend-Switching Financial Time Series Model with Level-Duration Dependence
Table 8
Forecast of the directions of trend and its test.
| ā | DJI | SP500 | FTSE | STI | BSE | SZCI |
| | 0.671 | 0.707 | 0.678 | 0.698 | 0.612 | 0.747 | | 0.581 | 0.599 | 0.588 | 0.564 | 0.692 | 0.496 | | 0.631 | 0.657 | 0.637 | 0.638 | 0.648 | 0.637 | | 270.697 | 300.586 | 91.954 | 84.546 | 86.514 | 63.584 | value | 0.001 | 0.001 | 0.001 | 0.001 | 0.001 | 0.001 |
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