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

Table 2

Estimate results with the original model.

Specifications
zt={1}	q=1	p=0	h=1500	M=2	ε=0.25	T=6000
Tests
SupFT(1)	SupFT(2)	UDmax	WDmax	SupFT(2∣1)
0.1192	0.0404	0.1192	0.1192	0.02853
Number of breaks selected
Number of breaks	0	1	2
BIC	4.7196	4.7113	4.7039
LWZ	4.7198	4.7183	4.7176
Estimates with three breaks
δ^1	δ^2	δ^3
−0.2678	−0.7618	1.1165
(4.5047)	(15.7582)	(4.1354)
T^1	T^2
2327	3835

*Significance at the 5% level.