Structural Breakpoints in Volatility in International Markets



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



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