Structural Breakpoints in Volatility in International Markets



21

(c) Latin America

Period

Scale

D-statistic

Critical Values

H0: Homogeneity

10%

5%

1%

10%

5%

1%

1997-1998

d1

0.283

0.108

0.120

0.144

F

F

F

d2

0.448

0.151

0.167

0.202

F

F

F

d3

0.220

0.218

0.243

0.295

F

T

T

d4

0.539

0.319

0.355

0.428

F

F

F

d5

0.622

0.503

0.558

0.659

F

F

T

d6

0.975

0.993

0.998

0.999

T

T

T

1999-2001

d1

0.196

0.088

0.098

0.117

F

F

F

d2

0.142

0.126

0.140

0.167

F

F

T

d3

0.201

0.176

0.195

0.232

F

F

T

d4

0.165

0.256

0.284

0.342

T

T

T

d5

0.402

0.381

0.425

0.505

F

T

T

d6

0.483

0.636

0.703

0.815

T

T

T

1999-2002

d1

0.150

0.077

0.085

0.101

F

F

F

d2

0.093

0.109

0.121

0.144

T

T

T

d3

0.182

0.152

0.168

0.203

F

F

T

d4

0.140

0.218

0.243

0.295

T

T

T

d5

0.294

0.319

0.355

0.428

T

T

T

d6

0.277

0.503

0.558

0.659

T

T

T

(d) North America

Period

Scale

D-statistic

Critical Values

H0: Homogeneity

10%

5%

1%

10%

5%

1%

1997-1998

d1

0.191

0.108

0.120

0.144

F

F

F

d2

0.258

0.151

0.167

0.202

F

F

F

d3

0.140

0.218

0.243

0.295

T

T

T

d4

0.614

0.319

0.355

0.428

F

F

F

d5

0.275

0.503

0.558

0.659

T

T

T

d6

0.996

0.993

0.998

0.999

F

T

T

1999-2001

d1

0.111

0.088

0.098

0.117

F

F

T

d2

0.095

0.126

0.140

0.167

T

T

T

d3

0.129

0.176

0.195

0.232

T

T

T

d4

0.136

0.256

0.284

0.342

T

T

T

d5

0.188

0.381

0.425

0.505

T

T

T

d6

0.714

0.636

0.703

0.815

F

F

T

1999-2002

d1

0.158

0.077

0.085

0.101

F

F

F

d2

0.111

0.109

0.121

0.144

F

T

T

d3

0.170

0.152

0.168

0.203

F

F

T

d4

0.153

0.218

0.243

0.295

T

T

T

d5

0.127

0.319

0.355

0.428

T

T

T

d6

0.363

0.503

0.558

0.659

T

T

T

Note: An Inclan-Tiao approximation is used to compute the critical values for sample sizes N128, while a
Monte Carlo Technique is used for N<128. “T” indicates that we cannot reject the null hypothesis and “F”
otherwise.



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