Table 4.
Modeling the volatility of stock market returns without using the detected structural breakpoints.
| U.S. stock market | ||||||||
|---|---|---|---|---|---|---|---|---|
| S&P500 Index (1) |
DJIA Index (2) |
Nasdaq Composite Index (3) |
||||||
| Variables | Coefficient | Std. Err | Variables | Coefficient | Std. Err | Variables | Coefficient | Std. Err |
| Mean Equation: | ||||||||
| Constant | 0.0007 c | 0.0001 | Constant | 0.0007 c | 0.0001 | Constant | 0.0008 c | 0.0001 |
| R_S&P500(-1) | −0.0694 c | 0.0150 | R_DJIA(-1) | −0.0515 c | 0.0145 | R_IXIC(-1) | −0.0407 c | 0.0149 |
| Variance Equation: | ||||||||
| Constant | −0.4374 c | 0.0275 | Constant | −0.4397 c | 0.0283 | Constant | −0.3438 c | 0.0257 |
| L.EGARCH | 0.2546 c | 0.0112 | L.EGARCH | 0.2601 c | 0.0108 | L.EGARCH | 0.2072 c | 0.0109 |
| L.ARCH | 0.9734 c | 0.0023 | L.ARCH | 0.9739 c | 0.0024 | L.ARCH | 0.9790 c | 0.0022 |
Note: a significant at 10% level; b significant at 5% level; c significant at 1% level.