. 2020 Sep 28;37:101775. doi: 10.1016/j.frl.2020.101775

Table 3.

The Markov switching model: the influence of JCJ_KCJ on the S&P500 index returns. In Model 1 all parameters switch, in Model 2 only the intercept and variance in residuals switch. The independent variable Δlog(JCJ_KCJ) denotes changes in the logarithm of daily JCJ_KCJ. Sigma is the residual standard deviation, p_ii (i = 1, 2) is the transition probability of staying in regime i.

Model 1. SPX vs JCJ_KCJ
	Regime 1			Regime 2
Parameter	Estimate	Std. Error	p-value	Estimate	Std. Error	p-value
Constant	0.0011	0.0004	0.006	−0.0020	0.0052	0.707
Δlog(JCJ_KCJ)	−0.0895	0.0072	0.000	−0.0603	0.0452	0.183
Sigma	0.0054	0.0003		0.0398	0.0038
p₁₁	0.9654	0.0151
p₂₂	0.8904	0.0517

Model 2. SPX vs JCJ_KCJ
	Regime 1			Regime 2
Parameter	Estimate	Std. Error	p-value	Estimate	Std. Error	p-value

Constant	0.0011	0.0004	0.006	−0.0013	0.0051	0.792
Δlog(JCJ_KCJ)	−0.0887	0.0071	0.000	−0.0887	0.0071	0.000
Sigma	0.0054	0.0003		0.0399	0.0039
p₁₁	0.9654	0.0151
p₂₂	0.8915	0.0512