Parameters

Regime-1

Regime-2

LIP

LCPI

LCRUDE

LIP

LCPI

LCRUDE

Constant

5.5166

(1.0468)

0.7514

(1.1803)

−6.6376**

(−1.9560)

20.1740*

(5.2466)

−0.2890

(−0.4268)

−31.1812*

(−3.7713)

LIP (−1)

0.4008*

(4.9269)

−0.0202

(−1.3948)

0.1482*

(2.0664)

0.2098*

(3.0750)

−0.0063

(−0.4877)

0.2554**

(1.8153)

LIP (−2)

0.3243*

(3.8244)

−0.0054

(−0.3292)

−0.0400

(−0.5565)

0.3500*

(5.3189)

−0.0063

(−0.4725)

0.3173*

(2.5012)

LIP (−3)

0.1249

(1.0320)

0.0282**

(1.8637)

0.0189

(0.3201)

0.1448**

(1.6493)

0.0320*

(2.1466)

0.0773

(0.6424)

LCPI (−1)

−0.4430

(−0.4829)

1.3182*

(14.2137)

0.1176

(0.2981)

−2.8363*

(−4.9685)

1.3491*

(15.6559)

−0.6571

(−0.6645)

LCPI (−2)

1.1222

(0.9209)

−0.30538**

(−1.6844)

−0.3436

(−0.5169)

4.1608*

(4.8221)

−0.4699*

(−3.6196)

2.5633

(1.4367)

LCPI (−3)

−0.5568

(−0.9860)

−0.01476

(−0.1131)

0.1228

(0.2953)

−1.1268*

(−2.1773)

0.1039

(1.4314)

−2.3255*

(−2.0520)

LCrude (−1)

−0.2187*

(−2.1566)

0.0124

(0.9046)

1.0568*

(13.3438)

−0.0207

(−0.5593)

0.0004

(0.0874)

1.2126*

(16.5083)

LCrude (−2)

0.2954*

(2.1984)

0.0109

(0.4889)

−0.0378

(−0.3282)

0.0844

(1.5460)

0.0071

(0.8016)

−0.3417*

(−2.8975)

LCrude (−3)

−0.06241

(−0.8096)

−0.0246**

(−1.8882)

−0.0252

(−0.3354)

−0.0079

(−0.2451)

−0.0082

(−1.4333)

−0.0395

(−0.5597)

σ²

39.0496*

(8.6743)

0.7519*

(9.6124)

17.4338*

(6.6906)

16.4426*

(7.6890)

0.3841*

(8.8692)

75.1675*

(10.5718)

P (1,1)

0.9322* (35.7165)

P (1,2)

0.0542* (2.4752)