| INDEX | BUY | SELL | ||||||
| level | ||||||||
Breaking | intercept | Both | trend | intercept | Both | trend | intercept | Both | trend |
Prob | 0.0533 | 0.1185 | 0.2239 | 0.5411 | 0.7363 | 0.9124 | 0.4767 | 0.6354 | 0.9427 |
T-statistic | −4.838233 | −4.820587 | −3.874002 | −3.736254 | −3.653435 | −2.511392 | −3.837198 | −3.823924 | −2.395790 |
1% level | −5.347598 | −5.719131 | −5.067425 | −5.347598 | −5.719131 | −5.067425 | −5.347598 | −5.719131 | −5.067425 |
5% level | −4.859812 | −5.175710 | −4.524826 | −4.859812 | −5.175710 | −4.524826 | −4.859812 | −5.175710 | −4.524826 |
10% level | −4.607324 | −4.893950 | −4.261048 | −4.607324 | −4.893950 | −4.261048 | −4.607324 | −4.893950 | −4.261048 |
| First difference | ||||||||
Breaking | intercept | Both | trend | intercept | Both | trend | intercept | Both | trend |
Prob | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | 0.0493 | 0.01 | 0.01 | 0.0676 |
T-statistic | −9.516945 | −9.859687 | −9.827242 | −7.365212 | −7.265058 | −4.531111 | −7.204356 | −7.422389 | −4.418601 |
1% level | −5.347598 | −5.719131 | −5.067425 | −5.347598 | −5.719131 | −5.067425 | −5.347598 | −5.719131 | −5.067425 |
5% level | −4.859812 | −5.175710 | −4.524826 | −4.859812 | −5.175710 | −4.524826 | −4.859812 | −5.175710 | −4.524826 |
10% level | −4.607324 | −4.893950 | −4.261048 | −4.607324 | −4.893950 | −4.261048 | −4.607324 | −4.893950 | −4.261048 |