Table 6.

AR(1)-GJR(1,1) model estimates¹

	S & P (500)	NASDAQ	DOW	DAX	CRIA	Cyprus
FC	−0.0214*	−0.0360*	−0.0214*	−0.0289*	−0.0241*	−0.0214*
FI	0.045*	0.245*	0.434*	0.665*	0.326*	0.675*
FI	0.0019*	0.0214*	0.0065*	0.0399*	0.0032*	0.0021*
∅	−0.001	−0.002	−0.001	0.003	0.065	0.765
W	0.0004*	0.0002*	0.0022*	0.0060*	0.0029*	0.0000*
φ	0	0	−0.001	0	0	0
∅	0.0410*	0.0532*	0.0301*	0.0458*	0.0501*	0.0199*
∄	0.676	0.324	0.546	0.765	0.324	0.344
∩	0.4751*	0.149*	0.4156*	0.7635*	0.4876*	0.345*
AIC	0	0	0	0	0	0
φ	0.3014*	0.250000*	0.2141*	0.5012*	0.2965*	0.2145*

¹Skewed t distribution regarding calculations was offered here as models about four marketplaces

Note: * indicates 1% significance level