recent developments in high frequency financial ... - Index of

Table 4 Fully specified ACI models
BHP NAB NCP TLS WOW BHP NAB NCP TLS WOW
Constants and backward recurrence parameters
ω 1
−1.059*** −0.336*** −0.294*** −1.085*** −1.015*** p 1
0.844*** 0.797*** 0.820*** 0.832*** 0.737***
ω 2
−0.301*** −0.285*** −0.157 −1.207*** −0.672*** p 2
0.845*** 0.778*** 0.798*** 0.836*** 0.731***
ω 3
−0.793*** −0.782*** −0.490*** −0.722*** −0.859*** p 3
0.834*** 0.905*** 0.878*** 0.825*** 0.810***
ω 4
−0.497*** −1.348*** −1.081*** −0.420* −1.637*** p 4
0.818*** 0.862*** 0.834*** 0.700*** 0.838***
ω 5
−1.352*** −1.397*** −1.576*** −1.025*** −1.674*** p 5
0.742*** 0.749*** 0.873*** 0.653*** 0.789***
ω 6
−1.704*** −1.442*** −1.410*** −1.363*** −1.980*** p 6
0.762*** 0.741*** 0.859*** 0.671*** 0.780***
Innovation parameters
α 1 1 0.115*** 0.114*** 0.076*** 0.235*** 0.176*** α 1 2 0.003 0.029** 0.018** 0.046 0.081***
α 2 1 −0.010 0.013 0.004 0.179*** 0.055*** α 2 2 0.120*** 0.115*** 0.085*** 0.244*** 0.177***
α 3 1 0.052*** 0.038*** 0.012 0.160 0.082*** α 3 2 −0.010 −0.009 0.013* −0.007 0.054**
α 4 1 −0.033** −0.009 −0.007 0.076 0.059* α 4 2 0.018 0.042*** 0.003*** 0.263* 0.058*
α 5 1 0.031** 0.037** 0.064*** 0.074** 0.016 α 5 2 0.046*** 0.049*** 0.022* −0.030 0.145***
α 6 1 0.044*** 0.027* 0.042*** 0.049** 0.199*** α 6 2 0.010 0.042*** 0.041*** 0.030* 0.138***
α 1 3 0.042*** −0.002 −0.015* 0.085 0.074*** α 1 4 0.028** 0.053*** 0.005 −0.079* 0.071***
α 2 3 0.026* −0.007 0.018* −0.159** 0.070*** α 2 4 0.064*** 0.048*** 0.013 0.046 0.021
α 3 3 0.097*** 0.073*** 0.028*** 0.438*** 0.122*** α 3 4 0.012 0.008 0.038*** −0.393** 0.084***
α 4 3 0.076*** −0.004 0.026*** 0.010 0.175*** α 4 4 0.116*** 0.083*** 0.033*** −0.042 0.215***
α 5 3 0.051*** 0.034** 0.022* 0.063 0.132*** α 5 4 0.031* 0.056** 0.029* 0.017 0.058
α 6 3 0.056*** 0.032** 0.008 −0.038 0.029 α 6 4 0.022 0.010 0.010 −0.014 0.201***
α 1 5 −0.008 −0.017 −0.010 −0.019 0.118*** α 1 6 0.002 −0.054** 0.012 0.127*** 0.083***
α 2 5 0.023 0.013 −0.004 0.185*** 0.133*** α 2 6 0.017 −0.024 0.012 −0.056*** 0.013
α 3 5 −0.007 0.017 −0.063*** 0.186* 0.022 α 3 6 0.000 0.014 0.024 −0.451** −0.021
α 4 5 0.058* 0.015 0.010 0.129 0.104* α 4 6 0.001 −0.002 0.012 −0.088 0.058
α 5 5 0.002 0.097*** 0.025 0.068** 0.122*** α 5 6 0.005 0.030 −0.006 0.029 −0.185***
α 6 5 0.094*** 0.002 −0.001 0.030 −0.141** α 6 6 0.067*** 0.119*** 0.017 0.019 0.068*
148
A. D. Hall, N. Hautsch