Structural Breakpoints in Volatility in International Markets

24

(b) Europe

Period	Scale	D-statistic	Critical Values			H0: Homogeneity
Period	Scale	D-statistic	10%	5%	1%	10%	5%	1%
1997-1998	d1	0.041	0.108	0.120	0.144	T	T	T
	d2	0.151	0.151	0.167	0.202	F	T	T
	d3	0.100	0.218	0.243	0.295	T	T	T
	d4	0.196	0.319	0.355	0.428	T	T	T
	d5	0.317	0.503	0.558	0.659	T	T	T
	d6	0.740	0.993	0.998	0.999	T	T	T
1999-2000	d1	0.100	0.149	0.167	0.200	T	T	T
	d2	0.080	0.214	0.239	0.290	T	T	T
	d3	0.109	0.319	0.355	0.428	T	T	T
	d4	0.448	0.503	0.558	0.659	T	T	T
	d5	0.590	0.993	0.998	0.999	T	T	T
2001	d1	0.066	0.108	0.120	0.144	T	T	T
	d2	0.052	0.151	0.167	0.202	T	T	T
	d3	0.108	0.218	0.243	0.295	T	T	T
	d4	0.299	0.319	0.355	0.428	T	T	T
	d5	0.186	0.503	0.558	0.659	T	T	T
	d6	0.974	0.993	0.998	0.999	T	T	T
2001-2002	d1	0.074	0.149	0.167	0.200	T	T	T
	d2	0.201	0.214	0.239	0.290	T	T	T
	d3	0.157	0.319	0.355	0.428	T	T	T
	d4	0.200	0.503	0.558	0.659	T	T	T
	d5	0.993	0.993	0.998	0.999	T	T	T
(c) Latin America
Period	Scale	D-statistic	Critical Values			H>:	Homogeneity
			10%	5%	1%	10%	5%	1%
1997-1998	d1	0.109	0.108	0.120	0.144	F	T	T
	d2	0.155	0.151	0.167	0.202	F	T	T
	d3	0.198	0.218	0.243	0.295	T	T	T
	d4	0.164	0.319	0.355	0.428	T	T	T
	d5	0.545	0.503	0.558	0.659	F	T	T
	d6	0.998	0.993	0.998	0.999	F	T	T
1999-2001	d1	0.070	0.088	0.098	0.117	T	T	T
	d2	0.092	0.126	0.140	0.167	T	T	T
	d3	0.115	0.176	0.195	0.232	T	T	T
	d4	0.162	0.256	0.284	0.342	T	T	T
	d5	0.328	0.381	0.425	0.505	T	T	T
	d6	0.475	0.636	0.703	0.815	T	T	T
1999-2002	d1	0.052	0.077	0.085	0.101	T	T	T
	d2	0.088	0.109	0.121	0.144	T	T	T
	d3	0.116	0.152	0.168	0.203	T	T	T
	d4	0.114	0.218	0.243	0.295	T	T	T
	d5	0.213	0.319	0.355	0.428	T	T	T
	d6	0.232	0.503	0.558	0.659	T	T	T

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