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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