. 2020 Sep 12;72:101560. doi: 10.1016/j.irfa.2020.101560

Table 3.

SSEB Two-state regime switching model (Estimation from data at 30-min intervals).

Coef.	SSEB – Oil		SSEB – Bitcoin		SSEB – US dollar		SSEB – Corn
Coef.	Reg 1 (i = 1)	Reg 2 (i = 2)	Reg 1 (i = 1)	Reg 2 (i = 2)	Reg 1 (i = 1)	Reg 2 (i = 2)	Reg 1 (i = 1)	Reg 2 (i = 2)
u_i^s	−0.001^⁎	−1.60E−06	−1.60E−06	−0.001^⁎	−9.62E−05	−3.57E−05	−0.001^⁎	−4.26E−05
u_i^s	(0.0825)	(0.9851)	(0.9842)	(0.0593)	(0.2761)	(0.7657)	(0.0920)	(0.6044)
a_i^s	−0.012	0.049^⁎⁎	0.059	0.200^⁎	0.082^⁎⁎⁎	0.115^⁎⁎⁎	0.018	0.036
a_i^s	(0.7967)	(0.0150)	(0.1603)	(0.0998)	(0.0012)	(0.0000)	(0.9262)	(0.2464)
b_i^s	0.078^⁎⁎⁎	0.015	−0.002	0.033^⁎⁎⁎	−3.27E−04	0.113	−0.377	0.012
b_i^s	(0.0000)	(0.1197)	(0.5896)	(0.0004)	(0.9974)	(0.1588)	(0.4021)	(0.5540)
u_i^c	−1.14E−04	6.98E−05	−2.97E−04^⁎⁎	−0.001	1.08E−05	−1.12E−05	−1.51E−04	−1.93E−05
u_i^c	(0.4633)	(0.4671)	(0.0103)	(0.7480)	(0.3697)	(0.3955)	(0.7055)	(0.6661)
a_i^c	0.017	0.006	−0.002	0.055	−0.001	0.001	−0.181^⁎⁎	0.007
a_i^c	(0.2274)	(0.7947)	(0.9210)	(0.9314)	(0.7716)	(0.7369)	(0.0447)	(0.3980)
b_i^c	−0.023^⁎⁎⁎	−0.006	−0.010	−0.049	−0.007	0.010	−0.947^⁎⁎⁎	−0.039^⁎
b_i^c	(0.0066)	(0.7200)	(0.1868)	(0.6056)	(0.5884)	(0.2372)	(0.0000)	(0.0527)
h_i^s	2.73E−05^⁎⁎⁎	3.93E−06^⁎⁎⁎	3.46E−06^⁎⁎⁎	2.07E−05^⁎⁎⁎	2.85E−06^⁎⁎⁎	1.89E−05^⁎⁎⁎	4.78E−05^⁎⁎⁎	3.52E−06^⁎⁎⁎
h_i^s	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)	(0.0000)
γ_{i, 1}^s	2.46E−05^⁎⁎⁎	−9.29E−07^⁎	2.91E−07	1.71E−05	4.10E−05^⁎⁎⁎	−1.52E−05^⁎⁎⁎	1.46E−05	3.98E−07
γ_{i, 1}^s	(0.0000)	(0.0641)	(0.7406)	(0.3359)	(0.0000)	(0.0000)	(0.6505)	(0.6448)
γ_{i, 2}^s	6.28E−05^⁎⁎⁎	1.87E−05^⁎⁎⁎	5.49E−05^⁎	2.63E−06	2.12E−04^⁎⁎⁎	−5.99E−06^⁎⁎⁎	0.001	1.43E−05^⁎⁎⁎
γ_{i, 2}^s	(0.0000)	(0.0000)	(0.0725)	(0.7131)	(0.0000)	(0.0000)	(0.1599)	(0.0000)
h_i^c	7.16E−04^⁎⁎⁎	5.74E−06^⁎⁎⁎	1.18E−05^⁎⁎⁎	0.002^⁎⁎⁎	5.23E−08^⁎⁎⁎	3.73E−06^⁎⁎⁎	2.29E−05^⁎⁎⁎	1.48E−06^⁎⁎⁎
h_i^c	(0.0000)	(0.0000)	(0.0000)	(0.0053)	(0.0000)	(0.0000)	(0.0000)	(0.0000)
γ_{i, 1}^c	−5.62E−04^⁎⁎⁎	−3.55E−06^⁎⁎⁎	−5.18E−06^⁎⁎⁎	−8.10E−04	3.78E−06^⁎⁎⁎	−3.70E−06^⁎⁎⁎	−1.16E−05^⁎	−5.24E−07^⁎⁎
γ_{i, 1}^c	(0.0000)	(0.0000)	(0.0074)	(0.2585)	(0.0000)	(0.0000)	(0.0991)	(0.0323)
γ_{i, 2}^c	−7.13E−04^⁎⁎⁎	4.54E−04^⁎⁎⁎	5.16E−06	0.005	2.15E−05^⁎⁎⁎	−3.51E−06^⁎⁎⁎	1.53E−04^⁎	6.57E−07
γ_{i, 2}^c	(0.0000)	(0.0000)	(0.1906)	(0.3756)	(0.0000)	(0.0000)	(0.0954)	(0.1670)
p_i	0.048	−0.048	0.033	0.060^⁎	−0.019	0.006	−0.198^⁎⁎⁎	−0.008
p_i	(0.5191)	(0.1790)	(0.4061)	(0.0883)	(0.7338)	(0.8962)	(0.0072)	(0.8159)
a_i	1.805^⁎⁎⁎	2.273^⁎⁎⁎	1.181^⁎⁎	1.173^⁎⁎	9.004^⁎⁎⁎	4.312^⁎⁎⁎	1.198^⁎⁎⁎	1.824^⁎⁎⁎
a_i	(0.0054)	(0.0014)	(0.0108)	(0.0107)	(0.0000)	(0.0000)	(0.0000)	(0.0000)
b_i	−0.006^⁎⁎⁎	−0.004^⁎⁎⁎	−4.08E−04	−0.005^⁎⁎⁎	−0.010^⁎⁎⁎	−0.003^⁎⁎⁎	0.001^⁎⁎	0.001^⁎⁎
b_i	(0.0026)	(0.0000)	(0.4336)	(0.0062)	(0.0000)	(0.0000)	(0.0176)	(0.0101)
Log−likelihood	9088		10,130		13,708		9523
Hansen's p−value	0.0000		0.0000		0.0000		0.0000

Note: This table reports the estimation result of the two-state regime switching model. Estimation is done for five sample pairs consisting of one Shanghai Stock Exchange A- or B-share index and one commodity asset and results are separately shown. Coef. denotes model coefficients. SSEA index is the Shanghai Stock Exchange A-share index; SSEB index is the Shanghai Stock Exchange B-share index. Hansen (1992)’s standardized likelihood ratio test is employed to test the existence of regimes and associated p-value of test statistic is shown. E stands for scientific notation. Figures in parentheses are p values of significance check. ^⁎⁎⁎, ^⁎⁎ and ^⁎ represent significance at the 1%, 5% and 10%, respectively.