Structural Breakpoints in Volatility in International Markets



23

(b) 180 days

Period

Scale

D-statistic

Critical Values

H0: Homogeneity

10%

5%

1%

10%

5%

1%

2000-Jan 2001

d1

0.308

0.152

0.169

0.203

F

F

F

d2

0.378

0.213

0.236

0.287

F

F

F

d3

0.86

0.315

0.351

0.421

T

T

T

d4

0.292

0.503

0.558

0.659

T

T

T

d5

0.747

0.993

0.998

0.999

T

T

T

Feb 2001-Apr 2002

d1

0.284

0.143

0.158

0.190

F

F

F

d2

0.183

0.200

0.223

0.268

T

T

T

d3

0.264

0.295

0.329

0.394

T

T

T

d4

0.427

0.459

0.508

0.608

T

T

T

d5

0.433

0.901

0.948

0.988

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.

Table 4 Volatility shifts test after controlling for conditional heteroskedasticity: Stock indices

(a) Emerging Asia

Period

Scale

D-statistic

Critical Values

H0: Homogeneity

10%

5%

1%

10%

5%

1%

1997-1998

d1

0.044

0.108

0.120

0.144

T

T

T

d2

0.132

0.151

0.167

0.202

T

T

T

d3

0.141

0.218

0.243

0.295

T

T

T

d4

0.112

0.319

0.355

0.428

T

T

T

d5

0.197

0.503

0.558

0.659

T

T

T

d6

0.867

0.993

0.998

0.999

T

T

T

1999-2002

d1

0.010

0.077

0.085

0.101

T

T

T

d2

0.061

0.109

0.121

0.144

T

T

T

d3

0.094

0.152

0.168

0.203

T

T

T

d4

0.119

0.218

0.243

0.295

T

T

T

d5

0.266

0.319

0.355

0.428

T

T

T

d6

0.346

0.503

0.558

0.659

T

T

T



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