Note(s): Table 6 displays the results of the variance 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