From: COVID-19 and instability of stock market performance: evidence from the U.S.
SupF (1) | SupF (2) | SupF (3) | UDmaxa | WDmax | SupFT(1|0) | SupFT(2|1) | SupFT(3|2) | \(\widehat{J}\)-Stat | BIC | LWZ | SM |
---|---|---|---|---|---|---|---|---|---|---|---|
Panel A: \(\pi =20\mathrm{\%},m=3\mathrm{ breaks}\) | |||||||||||
 Model I: \({R}_{t}^{S\&P 500}={\beta }_{0}^{S\&P 500}+{\beta }_{1}^{S\&P 500}{DS}_{t-1}^{US}+{\beta }_{2}^{S\&P 500}{R}_{t-1}^{S\&P 500}+{\varepsilon }_{t}\) | |||||||||||
  8.6434** | 5.5298 | 4.2090 | 8.6434** | 8.6434** | 7.4733* | 3.4279 | 0.0000 | − 16.9766** | 1 | 0 | 1 |
 Model II: \({R}_{t}^{DJIA}={\beta }_{0}^{DJIA}+{\beta }_{1}^{DJIA}{{DS}_{t-1}^{US}+\beta }_{2}^{DJIA}{R}_{t-1}^{DJIA}+{\varepsilon }_{t}\) | |||||||||||
  7.4514* | 5.1430 | 3.6911 | 7.4514* | 7.4514* | 6.9766* | 5.0930 | 0.2501 | − 13.8949* | 1 | 0 | 1 |
Panel B:\(\pi =25\mathrm{\%},m=2\mathrm{ breaks}\) | |||||||||||
 Model I: \({R}_{t}^{S\&P 500}={\beta }_{0}^{S\&P 500}+{\beta }_{1}^{S\&P 500}{DS}_{t-1}^{US}+{\beta }_{2}^{S\&P 500}{R}_{t-1}^{S\&P 500}+{\varepsilon }_{t}\) | |||||||||||
  7.9936* | 5.1009 | / | 7.9936* | 7.9936* | 7.5632* | 3.4504 | – | − 14.1311* | 1 | 0 | 1 |
 Model II: \({R}_{t}^{DJIA}={\beta }_{0}^{DJIA}+{\beta }_{1}^{DJIA}{{DS}_{t-1}^{US}+\beta }_{2}^{DJIA}{R}_{t-1}^{DJIA}+{\varepsilon }_{t}\) | |||||||||||
  7.3832* | 5.1663 | / | 7.3832* | 7.3832* | 6.9766* | 5.1307 | – | − 13.8012* | 1 | 0 | 1 |