22
Table 3 Volatility shifts test at different time scales: Interest rates on deposits
(a) 30 days
Period |
Scale |
D-statistic |
Critical Values |
H0: Homogeneity | ||||
10% |
5% |
1% |
10% |
5% |
1% | |||
2000-Jan 2001 |
d1 |
0.099 |
0.152 |
0.169 |
0.203 |
T |
T |
T |
d2 |
0.242 |
0.213 |
0.236 |
0.287 |
F |
F |
T | |
d3 |
0.191 |
0.315 |
0.351 |
0.421 |
T |
T |
T | |
d4 |
0.574 |
0.503 |
0.558 |
0.659 |
F |
F |
T | |
d5 |
0.996 |
0.993 |
0.998 |
0.999 |
F |
T |
T | |
Feb 2001-Apr 2002 |
d1 |
0.223 |
0.141 |
0.157 |
0.188 |
F |
F |
F |
d2 |
0.340 |
0.198 |
0.220 |
0.265 |
F |
F |
F | |
d3 |
0.480 |
0.291 |
0.325 |
0.390 |
F |
F |
F | |
d4 |
0.757 |
0.442 |
0.489 |
0.586 |
F |
F |
F | |
d5 |
0.745 |
0.901 |
0.948 |
0.988 |
T |
T |
T | |
(b) 60 days | ||||||||
Period |
Scale |
D-statistic |
Critical Values |
H0: |
Homogeneity | |||
10% |
5% |
1% |
10% |
5% |
1% | |||
2000-Jan 2001 |
d1 |
0.141 |
0.152 |
0.169 |
0.203 |
T |
T |
T |
d2 |
0.155 |
0.213 |
0.236 |
0.287 |
T |
T |
T | |
d3 |
0.292 |
0.315 |
0.351 |
0.421 |
T |
T |
T | |
d4 |
0.456 |
0.503 |
0.558 |
0.659 |
T |
T |
T | |
d5 |
0.891 |
0.993 |
0.998 |
0.999 |
T |
T |
T | |
Feb 2001-Apr 2002 |
d1 |
0.272 |
0.141 |
0.157 |
0.188 |
F |
F |
F |
d2 |
0.343 |
0.198 |
0.220 |
0.265 |
F |
F |
F | |
d3 |
0.438 |
0.291 |
0.325 |
0.390 |
F |
F |
F | |
d4 |
0.343 |
0.442 |
0.489 |
0.586 |
T |
T |
T | |
d5 |
0.665 |
0.901 |
0.948 |
0.988 |
T |
T |
T | |
(b) 90 days | ||||||||
Period |
Scale |
D-statistic |
Critical Values |
H0: |
Homogeneity | |||
10% |
5% |
1% |
10% |
5% |
1% | |||
2000-Jan 2001 |
d1 |
0.314 |
0.152 |
0.169 |
0.203 |
F |
F |
F |
d2 |
0.238 |
0.213 |
0.236 |
0.287 |
F |
F |
T | |
d3 |
0.378 |
0.315 |
0.351 |
0.421 |
F |
F |
T | |
d4 |
0.343 |
0.503 |
0.558 |
0.659 |
T |
T |
T | |
d5 |
0.989 |
0.993 |
0.998 |
0.999 |
T |
T |
T | |
Feb 2001-Apr 2002 |
d1 |
0.322 |
0.143 |
0.158 |
0.190 |
F |
F |
F |
d2 |
0.288 |
0.200 |
0.223 |
0.268 |
F |
F |
F | |
d3 |
0.323 |
0.295 |
0.329 |
0.394 |
F |
T |
T | |
d4 |
0.308 |
0.459 |
0.508 |
0.608 |
T |
T |
T | |
d5 |
0.430 |
0.901 |
0.948 |
0.988 |
T |
T |
T |
More intriguing information
1. Stable Distributions2. The name is absent
3. Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis
4. An Attempt to 2
5. The name is absent
6. Financial Market Volatility and Primary Placements
7. Indirect Effects of Pesticide Regulation and the Food Quality Protection Act
8. The name is absent
9. he Effect of Phosphorylation on the Electron Capture Dissociation of Peptide Ions
10. Group cooperation, inclusion and disaffected pupils: some responses to informal learning in the music classroom