Structural Breakpoints in Volatility in International Markets



24

(b) Europe

Period

Scale

D-statistic

Critical Values

H0: Homogeneity

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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