**Appendix A**

**Table A1.** The parameter instability test results.


Sources: The authors' estimation. Note: \*\*\* shows the significance at the 1% level.

**Table A2.** The Brock, Dechert, and Scheinkman (BDS) tests results.


Sources: The authors' estimation. Note: \*, \*\* and \*\*\* show the significance at the 10%, 5% and 1% level, respectively.


**Table A3.** ADF and PP unit root tests results.

Note: \*, \*\* and \*\*\* show the significance at 10%, 5% and 1% level respectively.
