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Table 7 Vector AutoRegressive Model Estimation

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

Panel A. Monthly Data Observations
  Over 1950.01-1985.12 Over 1986.01-2015.12 Over 1950.01-2015.12
  P MG t+1 P ML t+1 P MG t+1 P ML t+1 P MG t+1 P ML t+1
P MG t -0.028 [-0.573] 0.065 [1.245] 0.067 [1.213] 0.032 [0.432] -0.005 [-0.146] 0.027 [0.615]
P MG t 1 0.108 [2.258] 0.090 [1.813] 0.168 [3.363] 0.089 [1.349] 0.111 [3.010] 0.057 [1.347]
P MG t 2 0.190 [3.998] 0.056 [1.130] 0.171 [4.923] 0.053 [1.292]
P ML t 0.050 [1.043] 0.216 [4.268] 0.232 [5.398] 0.297 [5.232] 0.139 [4.343] 0.253 [6.727]
P ML t 1 0.219 [4.449] 0.086 [1.672] 0.172 [3.711] 0.029 [0.476] 0.192 [5.661] 0.032 [0.799]
P ML t 2 0.148 [2.939] 0.073 [1.394] 0.105 [3.110] 0.116 [2.912]
C 0.012 [4.093] 0.010 [3.208] 0.015 [5.038] 0.014 [3.776] 0.012 [5.544] 0.012 [4.698]
R-squared 0.143 0.098 0.187 0.096 0.166 0.102
Panel B. Quarterly Data Observations
  Over 1950.q1-1985.q4 Over 1986.q1-2015.q4 Over 1950.q1-2015.q4
  P MG t+1 P ML t+1 P MG t+1 P ML t+1 P MG t+1 P ML t+1
P MG t 0.395 [5.198] -0.202 [-2.167] 0.231[2.663] -0.066 [-0.595] 0.319 [5.587] -0.138 [-1.934]
P ML t 0.431 [6.222] 0.117 [1.373] 0.372 [5.068] 0.253 [2.708] 0.404 [8.048] 0.185 [2.944]
C 0.018 [2.602] 0.018 [2.602] 0.033 [3.917] 0.038 [3.621] 0.025 [4.609] 0.045 [6.791]
R-squared 0.272 0.059 0.187 0.076 0.227 0.062
  1. Note. Vector Autoregression estimates. VAR lag order selection criteria is determined by SIC (Schwarz Information Criterion), t-statistics are reported in [ ]