TABLE 7.

Asymmetric parameters of IBER.

Variables	Short-term coefficients	Std. Error	t-stat	Prob.
D(IBER(-1))	−0.368944***	0.09522	−3.875	0.0003
D(SPD_POS)	0.018471*	0.009268	1.993	0.0512
D(SPD_NEG)	−0.026216**	0.010675	−2.456	0.0172
D(SPC_POS)	0.001511	0.000911	1.6591	0.1028
D(SPC_NEG)	−0.001832*	0.000966	−1.897	0.0631
D(SPC_NEG(-1))	0.00301***	0.000996	3.0316	0.0037
D(SPC_NEG(-2))	0.006948***	0.00129	5.3867	0
ECTt–1	−0.824331***	0.137511	−5.995	0
R-Squared	0.726141
Adjusted R-squared	0.694191
Durbin-Watson stat	2.154368
Variables	Long-term coefficients	Std. Error	t-stat	Prob.
SPD_POS	0.053991***	0.01765	3.0589	0.0034
SPD_NEG	0.023488	0.018017	1.3037	0.1978
SPC_POS	−0.006341***	0.001968	−3.222	0.0021
SPC_NEG	−0.005173**	0.001945	−2.659	0.0102
C	−0.636028	0.428132	−1.486	0.1431

*, **, and *** denote 10, 5, and 1% level of significance, respectively. Source: Author’s calculation.