Timing the market: the economic value of price extremes

Financial Innovation

Table 7 Vector AutoRegressive Model Estimation

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

Note. Vector Autoregression estimates. VAR lag order selection criteria is determined by SIC (Schwarz Information Criterion), t-statistics are reported in [ ]