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



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