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Table 3 Autocorrelation Analysis on PMG and PML

From: Timing the market: the economic value of price extremes

Filtered Panel A. Monthly Index Data Panel B. Quarterly Index Data
Sqrt(PMG t ) Sqrt(PML t )_ Sqrt(PMG t ) Sqrt(PML t )
μ 0.164*** 0.143*** 0.020*** 0.183***
AR(1) 0.891*** 0.953*** 0.152** 0.666***
MA(1) -0.895*** -0.841***   -0.460***
AR(2)
MA(2) 0.110***    
ω 0.352E-03 0.420E-03   
ARCH(1) 0.035* 0.060**   
GARCH(1) 0.895*** 0.868***   
R-squared(%) 5.45 12.11 2.32 7.05
  1. Note: ***, **, * means respectively statistical significance at the level of 1%, 5% and 10%. Due to their high skewness and kurtosis, we perform squared root transform on both good extreme returns and bad extreme returns before filtration