Table 5 GARCH analysis: mean equation...

Table 5

GARCH analysis: mean equation

Series	BU	AU	BD	AD
Stock market indices
OMX Riga	0.0017**	0.00003	−0.0031*	0.0002
OMX Tallinn	0.0037***	−0.0021***	−0.0033***	−0.0016*
OMX Vilnius	0.0018**	0.00009	−0.0015**	−0.0002
Individual stocks
AS LHV Group	0.0048	−0.0018	−0.0071	0.0017
Coop Pank AS	0.0130**	0.0157	−0.0215***	0.0148
Ignitis Grupe AB	0.0100	−0.0168	−0.0016	−0.0009
Merko Ehitus	0.0027**	−0.0002	−0.0029*	0.0006
Siauliu Bankas	0.0049**	0.0025	−0.0024	0.0007
Tallink Grupp	0.0036***	0.0005	−0.0040***	−0.0007
Tallinna Kuabamaja Grupp	0.0018	0.0021**	−0.0023	0.0009
Tallinna Sadam	0.0027**	−0.0003	−0.0006	0.0001
Telia Lietuva	0.0043***	−0.00001	−0.0024***	0.0012*

Series	BU	AU	BD	AD
Stock market indices
OMX Riga	0.0017**	0.00003	−0.0031*	0.0002
OMX Tallinn	0.0037***	−0.0021***	−0.0033***	−0.0016*
OMX Vilnius	0.0018**	0.00009	−0.0015**	−0.0002
Individual stocks
AS LHV Group	0.0048	−0.0018	−0.0071	0.0017
Coop Pank AS	0.0130**	0.0157	−0.0215***	0.0148
Ignitis Grupe AB	0.0100	−0.0168	−0.0016	−0.0009
Merko Ehitus	0.0027**	−0.0002	−0.0029*	0.0006
Siauliu Bankas	0.0049**	0.0025	−0.0024	0.0007
Tallink Grupp	0.0036***	0.0005	−0.0040***	−0.0007
Tallinna Kuabamaja Grupp	0.0018	0.0021**	−0.0023	0.0009
Tallinna Sadam	0.0027**	−0.0003	−0.0006	0.0001
Telia Lietuva	0.0043***	−0.00001	−0.0024***	0.0012*

Note(s): Table 5 displays the results of the mean equation within a GARCH estimation framework, specified as R_t = β₁ + β₂BD + β₃AD + β₄BU + β₅AU + ε_t; ε_t ∼ N(0,V_t); V_t = α₁ + α₂BD + α₃AD + α₄BU + α₅AU + α₆V_t−1+α₇ε²_t−1+η_t. BD, AD, BU, and AU represent dummy variables. BD equals 1 for the five days preceding a barrier crossing during a downward movement, and 0 otherwise. AD is applicable for the five days following the same event. BU corresponds to the five days before crossing a barrier from below, while AU is set to 1 for the five days following the same upward crossing. *, **, *** indicates significance at the 10, 5 and 1% level, respectively

Source(s): Authors' own creation

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