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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