Другие предметы \ Проектирование

Model-free evaluation of directional predictability in foreign exchange markets, страница 16

Table II. (Continued)

Currency

c D 0

Positive direction

c D 0.5

c D 1.0

Negative direction

c D 0

c D 0.5

c D 1.0

MZY1,4

AD

1.47

2.74

7.04

1.35

4.84

7.43

CD

1.19

1.71

5.32

1.28

1.52

8.86

BP

0.68

2.39

8.37

0.96

12.21

24.22

JY

0.13

1.03

7.40

0.07

3.77

16.74

SF

0.53

0.46

8.82

0.59

5.71

9.13

DM

0.51

2.80

14.76

0.02

4.44

13.58

FAD

0.53

0.32

5.73

0.45

1.31

5.03

FCD

1.32

6.64

9.37

1.08

1.94

2.97

FBP

0.27

1.69

3.35

0.62

6.58

12.90

FJY

0.24

2.46

8.69

0.35

0.43

3.41

FSF

0.26

0.57

0.56

0.53

1.05

7.25

FDM

0.31

1.29

2.16

MZZ1,0

AD

1.65

2.50

0.42

1.98

4.69

13.40

CD

1.92

10.09

9.49

1.52

0.39

9.84

BP

1.10

0.21

6.11

1.03

8.08

22.66

JY

0.63

2.51

5.54

0.47

7.06

13.32

SF

1.82

5.60

1.88

1.33

2.38

DM

1.16

0.04

7.89

0.73

0.62

6.74

FAD

5.56

2.21

1.44

3.80

2.02

10.53

FCD

1.03

5.16

4.67

3.20

FBP

0.29

0.88

2.04

0.03

7.56

18.28

FJY

0.50

5.45

8.58

0.24

2.68

3.84

FSF

2.61

0.24

3.71

3.65

2.98

2.59

FDM

1.76

0.03

2.06

2.95

2.02

2.57

Notes:

1. GCS tests are asymptotically one-sided N(0,1) tests and thus upper-tailed asymptotic critical values may also be used, which are 1.65 and 2.33 at the 5% and 1% levels, respectively. M(1,l) represents test statistics on the martingale test, serial correlation test, ARCH-in-mean test, skewness-in-mean test and kurtosis-in-mean test for l D 0,...4, respectively. 2. Currency returns are defined by 100lnSt/St1 where St is an exchange spot rate or futures price.

3.  A preliminary bandwidth, p is crucial to run GCS tests. We have computed GCS test statistics for p D 11,...,50, but reported only for the value of p D 21 to save space.

4.  A threshold value c is introduced to forecast bigger changes. A higher threshold value of c implies a bigger change in rate or price.

Скачать файл