Stock

% in low regime

% in high regime

AIC

BIC

Residuals

variance

MAPE

Threshold

Value

Norm-SETAR (2:2, 1)

32.76%

67.24%

1432

1445

0.0031

52.59%

191719

Gumbel-SETAR (2:2, 1)

16.31%

83.69%

−7938

−7955

0.0123

21.29%

0.5028

Fréchet-SETAR (2:2, 2)

17.58%

82.42%

−7102

−7113

0.0007

25.47%

0.6291

Weibull-SETAR (2:2, 2)

12.49%

87.51%

−7810

−7829

0.0093

23.36%

0.8180

Poisson-SETAR (2:2, 2)

11.67%

88.33%

−7078

−7097

0.0064

24.67%

0.4257

MAR

Mixing Weight

(ω_k) per regime

AIC

BIC

μ_k/α_k

β_k

σ_k

Log.Lik

EM Test for No. regime

Norm-MAR (3:2, 1, 3)

(0.6680, 0.1883, 0.1437)

1517.1827

1523.166

(612.62, 253.85, −185.37)

-

(262.47,

89.72, 220.49)

−733.2816

3.3 ≈ 3

(0.0000)

Gumbel-MAR (2:1, 1)

(0.4891, 0.5109)

−8737.242

−8766.328

(0.0046, 0.0089)

(0.0004, 0.0042)

(0.02,

0.44)

5634.239

2.0 ≈ 2

(0.0000)

Fréchet-MAR (2:1, 1)

(0.4988, 0.5012)

−8675.2303

−8696.455

(0.0002, 0.00246)

(0.0004, 0.0042)

(2.67,

4.89)

4397.435

1.89 ≈ 2

(0.004)

Weibull-MAR (1)

0.9999 ≈ 1

−3556.1

−3547.4

0.0009

0.0045

0.0001

1780.97

-

Poisson-MAR (1)

0.9999 ≈ 1

−2099

−2092

0.00039

-

0.002

1051.98

-