Financial Innovation

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
Filtered	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

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

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