Stock Market Autoregressive Dynamics: A Multinational Comparative Study with Quantile Regression

Table 6

United States S&P 500 Index Quantile Regression Result.

0.05		0.0247	0.0620	0.0426	−0.0401
0.15				0.0290	0.0155
0.25	0.0179	0.0224	−0.0017		−0.0065
0.35	−0.0021	0.0058	−0.0058	0.0174	−0.0200
0.45			−0.0018	−0.0039
0.55			−0.0107			0.0095
0.65
0.75
0.85
0.95

Note: significance at 1% level, significance at 5%, and significance at 10%.