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
Period	Scale	D-statistic	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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