Table 5.

The effects of recent returns and volatility of the stock market index and the daily volume of trade of the shares of the DJIA, before and after the crash. HRS 2008.

	Specification [1]			Specification [2]
	μ	log(σ)	log[Std(u)]	μ	log(σ)	log[Std(u)]
Constant	−0.085 [0.006]**	−0.568 [0.041]**	−8.955 [2.213]**	−0.084 [0.005]**	−0.785 [0.089]**	−8.454 [2.234]**
Monthly log returns (log of the average of previous 5 days  minus the same one month before)	0.048 [0.081]			0.335 [0.104]**
VXD volatility index  (average of previous 5 days)		0.013 [0.151]			0.977 [0.408]*
Log of volume of trade  (average of previous 5 days)			0.350 [0.097]**			0.327 [0.099]**
Post-crash dummy  (October 08 to February 09)				−0.007 [0.032]	0.210 [0.256]	19.295 [6.101]**
Post-crash dummy interacted with  monthly log returns				−0.721 [0.257]**
Post-crash dummy interacted with  VXD volatility index					−0.617 [0.601]
Post-crash dummy interacted with  log of volume of trade						−0.839 [0.271]**
Other covariates	YES	YES	YES	YES	YES	YES
Instruments	YES	YES		YES	YES
Log-likelihood	−42301.2			−42268.1
N	9347			9347

Standard errors in brackets.

^*significant at 5%

^**significant at 1%