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

Table 6 ACI models without covariates
BHP NAB NCP TLS WOW BHP NAB NCP TLS WOW
Constants and backward recurrence parameters
ω 1
−0.893*** −0.724*** −0.635*** −1.204*** −1.109*** p 1
0.822*** 0.787*** 0.803*** 0.797*** 0.705***
ω 2
−0.742*** −0.658*** −0.544*** −1.153*** −1.014*** p 2
0.798*** 0.766*** 0.781*** 0.843*** 0.721***
ω 3
−0.967*** −1.138*** −0.783*** −1.665*** −0.740*** p 3
0.760*** 0.870*** 0.821*** 0.671*** 0.784***
ω 4
−0.986*** −1.385*** −1.330*** −1.259*** −1.705*** p 4
0.736*** 0.816*** 0.780*** 0.595*** 0.779***
ω 5
−1.449*** −1.600*** −1.910*** −1.210*** −1.959*** p 5
0.706*** 0.734*** 0.832*** 0.665*** 0.746***
ω 6
−1.604*** −1.537*** −1.876*** −1.216*** −1.851*** p 6
0.755*** 0.730*** 0.862*** 0.672*** 0.749***
Innovation parameters
α 1 1 0.049*** 0.124*** 0.063*** 0.147*** 0.134*** α 1 2 0.046*** 0.056*** 0.028*** 0.047** 0.049***
α 2 1 0.027** 0.034** 0.012 0.124*** 0.064*** α 2 2 0.085*** 0.133*** 0.078*** 0.096*** 0.097***
α 3 1 −0.008 0.010 −0.018* 0.037 0.078*** α 3 2 0.013 0.010 0.038*** 0.043 0.050**
α 4 1 0.037*** 0.017* 0.062*** 0.036 0.107*** α 4 2 −0.007 −0.013 −0.025 −0.057* −0.002
α 5 1 −0.014 0.041* 0.021 0.033 −0.039* α 5 2 0.095*** 0.154*** 0.055*** 0.085*** 0.133***
α 6 1 0.167*** 0.091*** 0.063*** 0.088 0.151*** α 6 2 −0.033 0.038** 0.053*** 0.027 0.081***
α 1 3 0.025** −0.008 −0.005*** 0.092** 0.056*** α 1 4 0.016 0.017 0.007 −0.016 0.086***
α 2 3 0.017 −0.009 0.018* 0.049 0.054*** α 2 4 0.007 0.041** 0.004 −0.053 0.037*
α 3 3 0.110*** 0.084*** 0.096*** 0.182*** 0.108*** α 3 4 −0.003 −0.005 0.019 0.008 0.051*
α 4 3 0.005 −0.037*** −0.029* 0.129*** 0.080*** α 4 4 0.151*** 0.110*** 0.186*** 0.046 0.224***
α 5 3 −0.006 0.056** 0.040** 0.034 0.083*** α 5 4 −0.019 0.032 −0.001 −0.008 0.073**
α 6 3 0.022 0.026 −0.024 0.045 0.005 α 6 4 −0.003 −0.005 0.001 0.035 0.125***
α 1 5 −0.029* −0.007 −0.021 0.004 0.087*** α 1 6 0.039** −0.050* 0.026 0.036 0.044***
α 2 5 0.025* 0.037 0.006 0.034 0.088*** α 2 6 0.003 −0.038 0.001 −0.003 0.006***
α 3 5 −0.001 0.013 −0.011 −0.024 0.025 α 3 6 0.013 −0.003 −0.027 0.025 −0.001***
α 4 5 −0.058** 0.017 −0.050 0.018 0.032 α 4 6 0.002 −0.016 −0.008 0.018 0.088**
α 5 5 0.045** 0.134*** 0.055* 0.001 0.056 α 5 6 0.049** 0.031 0.022 0.025 −0.014***
α 6 5 0.122*** 0.031 0.007 0.013 −0.164*** α 6 6 0.149*** 0.094*** 0.042 0.001 0.102
156
A. D. Hall, N. Hautsch