Structural Breakpoints in Volatility in International Markets



19

Table 1 Descriptive Statistics

(a) Stock Indices: January 1997-December 2002

Emerging Asia

Europe

Latin America

North America

Observations

1,555

1,555

1,555

1,555

Mean

-0.001

0.000

0.000

0.000

Median

-0.001

0.001

0.000

0.000

Std. dev.

0.015

0.012

0.018

0.013

25%-quantile

-0.009

-0.007

-0.009

-0.007

50%-quantile

-0.001

0.001

0.000

0.000

75%-quantile

0.008

0.007

0.009

0.007

Minimum

-0.075

-0.057

-0.145

-0.069

Maximum

0.076

0.052

0.131

0.055

Skewness

0.0

-0.2

-0.4

-0.1

Excess kurtosis

4.3

3.3

74.7

5.3

Jarque Bera test

28.0

30.0

518.7

36.0

P-value

0.00

0.00

0.00

0.00

Notes: (1) Figures are daily and measured in US dollars, and were obtained from Bloomberg. (2) The Latin
America index includes Argentina, Brazil, Chile, Colombia, Mexico, Peru, and Venezuela; the North America
index includes Canada and the United States; the Emerging Asia index includes China, India, Indonesia,
Korea, Malaysia, Pakistan, Philippines, Taiwan, and Thailand; the Europe index includes Austria, Belgium,
Denmark, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, Netherlands, Norway, Portugal,
Spain, Sweden, and the United Kingdom; (3) The Jarque-Bera test detects whether the probability distribution
of a series departures from normality.

(b) Interest Rates in Chile: January 1997-April 2002

30-day rate

60-day rate

90-day rate

180-day rate

Observations

1,307

1,307

1,312

1,312

Mean

0.097

0.088

0.063

0.058

Median

0.088

0.083

0.056

0.056

Std. Dev.

0.042

0.031

0.027

0.020

25%-quantile

0.066

0.064

0.049

0.048

50%-quantile

0.088

0.083

0.056

0.056

75%-quantile

0.120

0.109

0.074

0.067

Maximum

0.005

0.030

0.001

0.002

Minimum

0.370

0.228

0.219

0.150

Skewness

1.3

0.9

1.3

0.7

Excess kurtosis

11.6

0.7

21.8

7.4

Jarque Bera test

427.3

165.5

483.5

150.2

P-value

0.00

0.00

0.00

0.00

ADF stat

-4.647

-3.545

-2.956

-2.671

(0.001)

(0.035)

(0.145)

(0.249)

Notes: (1) The data are daily and were obtained from Bloomberg. Interest rates are annualized. (2) The lag
length in the Augmented Dickey-Fuller (ADF) test statistic is determined by the Schwartz information
criterion. P-values are between parentheses. (3) The Jarque-Bera test detects whether the probability
distribution of a series departures from normality.



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