TABLE 8.
Asymmetric parameters of FTMR.
| Variables | Short-term coefficients | Std. Error | t-stat | Prob. |
| D(FTMR(-1)) | −0.27947** | 0.138377 | −2.019624 | 0.0493 |
| D(FTMR(-2)) | −0.154875 | 0.136743 | −1.132605 | 0.2632 |
| D(FTMR(-3)) | −0.295127** | 0.113398 | −2.602569 | 0.0124 |
| D(ITLC_POS) | −0.008711*** | 0.001397 | −6.235569 | 0 |
| D(ITLC_POS(-1)) | −0.015154*** | 0.003264 | −4.642728 | 0 |
| D(ITLC_POS(-2)) | −0.0047 | 0.002589 | −1.573306 | 0.1225 |
| D(ITLC_NEG) | −0.001115 | 0.001937 | −0.575378 | 0.5678 |
| D(ITLC_NEG(-1)) | 0.006885*** | 0.00198 | 3.477965 | 0.0011 |
| D(ITLC_NEG(-2)) | −0.003758** | 0.001782 | −2.109409 | 0.0404 |
| D(ITLD_POS) | −0.06983*** | 0.014714 | −4.745672 | 0 |
| D(ITLD_POS(-1)) | 0.023801* | 0.011962 | 1.989722 | 0.0526 |
| D(ITLD_POS(-2)) | 0.029575*** | 0.010511 | 2.813763 | 0.0072 |
| D(ITLD_NEG) | 0.002565 | 0.012862 | 0.199404 | 0.8428 |
| D(ITLD_NEG(-1)) | 0.038093** | 0.015194 | 2.507186 | 0.0158 |
| D(ITLD_NEG(-2)) | 0.04502*** | 0.013664 | 3.294772 | 0.0019 |
| ECTt–1 | −0.959373*** | 0.163657 | −5.862111 | 0 |
| R-Squared | 0.851016 | |||
| Adjusted R-squared | 0.807197 | |||
| Durbin-Watson stat | 1.763297 | |||
| Variables | Long-term coefficients | Std. Error | t-stat | Prob. |
| ITLC_POS | 0.013317** | 0.005649 | 2.357295 | 0.0227 |
| ITLC_NEG | 0.001321 | 0.002682 | 0.492464 | 0.6247 |
| ITLD_POS | −0.109433** | 0.053273 | −2.054209 | 0.0457 |
| ITLD_NEG | −0.048345** | 0.020559 | −2.351573 | 0.023 |
| C | −0.500777 | 0.455916 | −1.098396 | 0.2777 |
*, **, and *** denote 10%, 5% and 1% level of significance, respectively. Source: Author’s calculation.