D = 1 after 2002 | D = 1 after 2008 | |||
---|---|---|---|---|
(1) R a | (2) R h | (3) R a | (4) R h | |
Constant (Return) | 0.073 (0.140) | 0.006 (0.921) | 0.098*** (0.000) | 0.129*** (0.000) |
D | −0.014 (0.802) | 0.091 (0.174) | −0.071* (0.085) | − 0.077* (0.084) |
AR(1) | −0.006 (0.607) | 0.069*** (0.000) | −0.005 (0.716) | 0.070*** (0.000) |
Constant (Variance) | 0.042*** (0.000) | 0.058*** (0.000) | 0.025*** (0.000) | 0.031*** (0.000) |
h t − 1 | 0.930*** (0.000) | 0.880*** (0.000) | 0.938*** (0.000) | 0.892*** (0.000) |
\( {\varepsilon}_{a,t-1}^2 \) | 0.079*** (0.000) | 0.011*** (0.001) | 0.063*** (0.000) | 0.010*** (0.000) |
\( {\varepsilon}_{h,t-1}^2 \) | 0.002 (0.147) | 0.138*** (0.000) | 0.003** (0.011) | 0.116*** (0.000) |
\( {\varepsilon}_{a,t-1}^2D \) | −0.032*** (0.000) | −0.002 (0.632) | −0.023*** (0.000) | 0.000 (0.954) |
\( {\varepsilon}_{h,t-1}^2D \) | 0.000 (0.805) | −0.049*** (0.000) | 0.001 (0.634) | −0.036*** (0.000) |
ρ ah | 0.332*** (0.000) | 0.339*** (0.000) | ||
N | 5534 | 5534 |