Table 2 Results of GARCH model for Eqs. (3), (4) and (5)

\({CSAD}_{t }= \alpha + {\gamma }_{1 }\left|{R}_{m,t}\right|+ {\gamma }_{2}\left({R}_{m,t}^{2}\right)+ {\varepsilon }_{t}\)

\({CSAD}_{t}^{UP} = \alpha + {\gamma }_{1}^{UP}\left|{R}_{m,t}^{UP}\right|+{\gamma }_{2}^{UP}{\left({R}_{m,t}^{UP}\right)}^{2}+ {\varepsilon }_{t}\)

\({CSAD}_{t}^{DOWN} = \alpha + {\gamma }_{1}^{DOWN}\left|{R}_{m,t}^{DOWN}\right|+{\gamma }_{2}^{DOWN}{\left({R}_{m,t}^{DOWN}\right)}^{2}+ {\varepsilon }_{t}\)

\(\boldsymbol{\alpha }\)

\({{\varvec{\gamma}}}_{1}\)

\({{\varvec{\gamma}}}_{2}\)

\(\boldsymbol{\alpha }\)

\({{\varvec{\gamma}}}_{1}^{{\varvec{U}}{\varvec{P}}}\)

\({{\varvec{\gamma}}}_{2}^{{\varvec{U}}{\varvec{P}}}\)

\(\boldsymbol{\alpha }\)

\({{\varvec{\gamma}}}_{1}^{{\varvec{D}}{\varvec{O}}{\varvec{W}}{\varvec{N}}}\)

\({{\varvec{\gamma}}}_{2}^{{\varvec{D}}{\varvec{O}}{\varvec{W}}{\varvec{N}}}\)