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
Period	Scale	D-statistic	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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