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 N≥128, 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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