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

Table 3

Estimate results with the modified model.

Specifications
zt={1}	q=1	p=0	h=1425	M=2	ε=0.25	T=5701
Tests
SupFT(1)	SupFT(2)	UDmax	WDmax	SupFT(2∣1)
13.0894*	6.6668*	13.0894*	13.0894*	0.69176
Number of breaks selected
Number of breaks	0	1	2
BIC	−3.0074	−4.0827	−4.103
LWZ	−3.0073	−4.0755	−4.0887
Estimates with three breaks
δ^1	δ^2
−0.3058	0.5321
(0.038091)	(0.092262)
T^1
3040

*Significance at the 5% level.