Table 6.
Modeling the volatility of DJIA'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_DJIA(-1) | −0.0489 c | 0.0160 | −0.0509 c | 0.0157 | ||
| Variance Equation | ||||||
| Constant | −0.7188 c | 0.0711 | −0.7059 c | 0.0709 | ||
| L.EGARCH | 0.2391 c | 0.0125 | 0.2445 c | 0.0125 | ||
| L.ARCH | 0.9385 c | 0.0069 | 0.9390 c | 0.0069 | ||
| Break point 1 | 30-Jul-2001 | −0.0081 | 0.0273 | 30-Jul-2001 | −0.0203 | 0.0292 |
| Break point 2 | 25-Jun-2002 | 0.0002 | 0.0250 | 25-Jun-2002 | −0.0115 | 0.0271 |
| Break point 3 | 8-Nov-2002 | 0.0538 | 0.0337 | 22-Oct-2003 | −0.0167 | 0.0279 |
| Break point 4 | 16-May-2003 | 0.0030 | 0.0306 | 9-Sep-2004 | −0.0865 c | 0.0298 |
| Break point 5 | 9-Sep-2004 | −0.0706 c | 0.0265 | 19-Aug-2005 | −0.0883 c | 0.0285 |
| Break point 6 | 8-Dec-2006 | −0.0847 c | 0.0252 | 8-May-2006 | −0.1030 c | 0.0303 |
| Break point 7 | 21-Jan-2008 | −0.0253 | 0.0243 | 9-Aug-2006 | −0.0528 | 0.0384 |
| Break point 8 | 20-Nov-2008 | 0.0519 a | 0.0277 | 8-Jan-2007 | −0.1375 c | 0.0329 |
| Break point 9 | 29-Jul-2009 | 0.0369 | 0.0287 | 3-Aug-2007 | −0.0413 | 0.0272 |
| Break point 10 | 12-Oct-2009 | −0.0536 | 0.0358 | 21-Jan-2008 | −0.0151 | 0.0301 |
| Break point 11 | 24-Jan-2011 | −0.0362 | 0.0245 | 20-Nov-2008 | 0.0393 | 0.0295 |
| Break point 12 | 24-Jul-2013 | −0.0485 b | 0.0241 | 2-Dec-2009 | −0.0030 | 0.0284 |
| Break point 13 | 21-Nov-2014 | −0.0896 c | 0.0264 | 6-Apr-2012 | −0.0414 a | 0.0250 |
| Break point 14 | 16-Jun-2015 | −0.0492 a | 0.0286 | 15-Apr-2015 | −0.0879 c | 0.0270 |
| Break point 15 | 31-Aug-2015 | 0.0100 | 0.0350 | 22-Mar-2016 | −0.0526 a | 0.0291 |
| Break point 16 | 4-Jan-2016 | −0.0412 | 0.0351 | 31-Jan-2018 | −0.1009 c | 0.0276 |
| Break point 17 | 3-Mar-2016 | −0.0371 | 0.0560 | 1-Feb-2019 | −0.0415 | 0.0269 |
| Break point 18 | 16-Aug-2016 | −0.0872 c | 0.0272 | 12-Jun-2019 | −0.0787 b | 0.0313 |
| Break point 19 | 6-Feb-2018 | −0.0866 c | 0.0254 | 23-Jan-2020 | −0.0871 c | 0.0295 |
| Break point 20 | 8-Oct-2018 | −0.0586 b | 0.0261 | 26-Mar-2020 | 0.1723 c | 0.0473 |
| Break point 21 | 20-May-2019 | −0.0262 | 0.0276 | 6-Jul-2020 | 0.0278 | 0.0312 |
| Break point 22 | 23-Jan-2020 | −0.0744 c | 0.0271 | 4-Aug-2020 | −0.1408 a | 0.0726 |
| Break point 23 | 4-Feb-2020 | 0.1202 | 0.1058 | |||
| Break point 24 | 26-Mar-2020 | 0.1976 c | 0.0536 | |||
| Break point 25 | 1-Jul-2020 | 0.0433 | 0.0296 | |||
| Break point 26 | 27-Jul-2020 | −0.1432 a | 0.0774 | |||
Note: a significant at 10% level; b significant at 5% level; c significant at 1% level.