Analysis of Multiple Structural Changes in Financial Contagion Based on the Largest Lyapunov Exponents

Table 1

Estimate results with the multiple structural changes model.

Specifications
zt={1}	q=1	p=0	h=303	M=5	ε=0.15	T=2019
Tests
SupFT(1)	SupFT(2)	SupFT(3)	SupFT(4)	SupFT(5)	UDmax	WDmax
1.4735	8.286*	11.7107*	18.8166*	13.0529*	18.8166*	18.8166*
SupFT(2∣1)	SupFT(3∣2)	SupFT(4∣3)	SupFT(5∣4)
20.8615*	10.1503*	0	0
Number of breaks selected
Number of breaks	0	1	2	3	4	5
BIC	10.3216	10.0755	9.3698	9.0284	8.7457	8.8352
LWZ	10.3221	10.0904	9.3993	9.0723	8.8041	8.9081
Estimates with three breaks
δ^	δ^	δ^	δ^	δ^
1239.26	1413.78	936.1	1147.23	1324.82
(30.5036)	(41.1877)	(41.9042)	(83.8616)	(41.2039)
T^	T^	T^	T^
2006/9/25	2008/9/12	2009/11/23	2011/2/1

*Significance at the 5% level.