Structural Breakpoints in Volatility in International Markets



20

Table 2 Volatility shifts test at different time scales: Stock indices

(a) Emerging Asia

Period

Scale

D-statistic

Critical Values

H0: Homogeneity

10%

5%

1%

10%

5%

1%

1997-1998

d1

0.308

0.108

0.120

0.144

F

F

F

d2

0.283

0.151

0.167

0.202

F

F

F

d3

0.290

0.218

0.243

0.295

F

F

F

d4

0.274

0.319

0.355

0.428

T

T

T

d5

0.375

0.503

0.558

0.659

T

T

T

d6

0.702

0.993

0.998

0.999

T

T

T

1999-2002

d1

0.055

0.077

0.085

0.101

T

T

T

d2

0.087

0.109

0.121

0.144

T

T

T

d3

0.088

0.152

0.168

0.203

T

T

T

d4

0.127

0.218

0.243

0.295

T

T

T

d5

0.266

0.319

0.355

0.428

T

T

T

d6

0.459

0.503

0.558

0.659

T

T

T

(b) Europe

Period

Scale

D-statistic

Critical Values

H>:

Homogeneity

10%

5%

1%

10%

5%

1%

1997-1998

d1

0.234

0.108

0.120

0.144

F

F

F

d2

0.422

0.151

0.167

0.202

F

F

F

d3

0.218

0.218

0.243

0.295

T

T

T

d4

0.479

0.319

0.355

0.428

F

F

F

d5

0.328

0.503

0.558

0.659

T

T

T

d6

0.767

0.993

0.998

0.999

T

T

T

1999-2000

d1

0.074

0.149

0.167

0.200

T

T

T

d2

0.154

0.214

0.239

0.290

T

T

T

d3

0.138

0.319

0.355

0.428

T

T

T

d4

0.419

0.503

0.558

0.659

T

T

T

d5

0.617

0.993

0.998

0.999

T

T

T

2001

d1

0.151

0.108

0.120

0.144

F

F

F

d2

0.167

0.151

0.167

0.202

F

T

T

d3

0.171

0.218

0.243

0.295

T

T

T

d4

0.274

0.319

0.355

0.428

T

T

T

d5

0.182

0.503

0.558

0.659

T

T

T

d6

0.966

0.993

0.998

0.999

T

T

T

2001-2002

d1

0.328

0.149

0.167

0.200

F

F

F

d2

0.356

0.214

0.239

0.290

F

F

F

d3

0.433

0.319

0.355

0.428

F

F

F

d4

0.433

0.503

0.558

0.659

T

T

T

d5

0.727

0.993

0.998

0.999

T

T

T



More intriguing information

1. An Attempt to 2
2. The name is absent
3. Evolution of cognitive function via redeployment of brain areas
4. QUEST II. A Multi-Country Business Cycle and Growth Model
5. SLA RESEARCH ON SELF-DIRECTION: THEORETICAL AND PRACTICAL ISSUES
6. Improving Business Cycle Forecasts’ Accuracy - What Can We Learn from Past Errors?
7. The name is absent
8. The name is absent
9. SOME ISSUES CONCERNING SPECIFICATION AND INTERPRETATION OF OUTDOOR RECREATION DEMAND MODELS
10. TECHNOLOGY AND REGIONAL DEVELOPMENT: THE CASE OF PATENTS AND FIRM LOCATION IN THE SPANISH MEDICAL INSTRUMENTS INDUSTRY.