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

Table 4

Estimate results with the modified multiple structural changes model.

Specifications
zt={1}	q=1	p=0	h=258	M=5	ε=0.15	T=1720
Tests
SupFT(1)	SupFT(2)	SupFT(3)	SupFT(4)	SupFT(5)	UDmax	WDmax
0.7920	1.3747	0.626	0.5655	5.1954*	5.1954	5.1954
SupFT(2∣1)	SupFT(3∣2)	SupFT(4∣3)	SupFT(5∣4)
0.6364	0.6063	0.6038	0
Number of breaks selected
Number of breaks	0	1	2	3	4	5
BIC	−2.3577	−2.4653	−2.5376	−2.6155	−2.6994	−2.6781
LWZ	−2.3571	−2.4486	−2.5048	−2.5666	−2.6345	−2.597
Estimates with three breaks
δ^1	δ^2	δ^3	δ^4	δ^5
1241.55	1415.60	913.07	1169.42	1325.19
(0.0366)	(0.5211)	(0.2213)	(0.2971)	(0.1533)
T^1	T^2	T^3	T^4
2006/10/9	2008/9/11	2009/9/18	2011/5/18

*Significance at the 5% level.