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. 2022 Oct 14;26:e00276. doi: 10.1016/j.jeca.2022.e00276

Table 5.

Modeling the volatility of S&P500's returns using structural breakpoints in the variance of Chinese stock market returns.

Variable Shanghai Composite Index (1)
Shenzhen Composite Index (2)
Break date Coefficient Std. Err Break date Coefficient Std. Err
Mean Equation
Constant −0.0007 c 0.0001 −0.0007 c 0.0001
R_S&P500(-1) −0.0676 c 0.0163 −0.0678 c 0.0159
Variance Equation
Constant −0.7176 c 0.0713 −0.6888 c 0.0694
L.EGARCH 0.2347 c 0.0132 0.2392 c 0.0131
L.ARCH 0.9369 c 0.0069 0.9390 c 0.0067
Break point 1 30-Jul-2001 −0.0145 0.0249 30-Jul-2001 −0.0283 0.0261
Break point 2 25-Jun-2002 −0.0125 0.0230 25-Jun-2002 −0.0253 0.0243
Break point 3 8-Nov-2002 0.0411 0.0347 22-Oct-2003 −0.0282 0.0246
Break point 4 16-May-2003 −0.0082 0.0277 9-Sep-2004 −0.0960 c 0.0258
Break point 5 9-Sep-2004 −0.0789 c 0.0232 19-Aug-2005 −0.1078 c 0.0263
Break point 6 8-Dec-2006 −0.0960 c 0.0221 8-May-2006 −0.1071 c 0.0265
Break point 7 21-Jan-2008 −0.0264 0.0206 9-Aug-2006 −0.0655 a 0.0348
Break point 8 20-Nov-2008 0.0478 a 0.0248 8-Jan-2007 −0.1376 c 0.0277
Break point 9 29-Jul-2009 0.0436 0.0275 3-Aug-2007 −0.0383 a 0.0225
Break point 10 12-Oct-2009 −0.0372 0.0335 21-Jan-2008 −0.0209 0.0269
Break point 11 24-Jan-2011 −0.0368 a 0.0214 20-Nov-2008 0.0323 0.0259
Break point 12 24-Jul-2013 −0.0493 b 0.0205 2-Dec-2009 0.0018 0.0251
Break point 13 21-Nov-2014 −0.0967 c 0.0225 6-Apr-2012 −0.0441 b 0.0219
Break point 14 16-Jun-2015 −0.0729 c 0.0264 15-Apr-2015 −0.0928 c 0.0225
Break point 15 31-Aug-2015 0.0058 0.0309 22-Mar-2016 −0.0556 b 0.0247
Break point 16 4-Jan-2016 −0.0440 0.0315 31-Jan-2018 −0.1110 c 0.0235
Break point 17 3-Mar-2016 −0.0246 0.0505 1-Feb-2019 −0.0546 b 0.0226
Break point 18 16-Aug-2016 −0.0940 c 0.0235 12-Jun-2019 −0.0922 c 0.0278
Break point 19 6-Feb-2018 −0.0996 c 0.0224 23-Jan-2020 −0.1138 c 0.0267
Break point 20 8-Oct-2018 −0.0742 c 0.0231 26-Mar-2020 0.1491 c 0.0440
Break point 21 20-May-2019 −0.0341 a 0.0205 6-Jul-2020 0.0033 0.0263
Break point 22 23-Jan-2020 −0.1010 c 0.0251 4-Aug-2020 −0.1979 c 0.0801
Break point 23 4-Feb-2020 0.0720 0.1194
Break point 24 26-Mar-2020 0.1817 c 0.0516
Break point 25 1-Jul-2020 0.0208 0.0254
Break point 26 27-Jul-2020 −0.1828 b 0.0835

Note: a significant at 10% level; b significant at 5% level; c significant at 1% level.