Structural Breakpoints in Volatility in International Markets



25

(d) North America

Period

Scale

D-statistic

Critical Values

H0: Homogeneity

10%

5%

1%

10%

5%

1%

1997-1998

d1

0.103

0.108

0.120

0.144

T

T

T

d2

0.066

0.151

0.167

0.202

T

T

T

d3

0.092

0.218

0.243

0.295

T

T

T

d4

0.391

0.319

0.355

0.428

F

F

T

d5

0.316

0.503

0.558

0.659

T

T

T

d6

0.984

0.993

0.998

0.999

T

T

T

1999-2001

d1

0.056

0.088

0.098

0.117

T

T

T

d2

0.120

0.126

0.140

0.167

T

T

T

d3

0.125

0.176

0.195

0.232

T

T

T

d4

0.131

0.256

0.284

0.342

T

T

T

d5

0.232

0.381

0.425

0.505

T

T

T

d6

0.598

0.636

0.703

0.815

T

T

T

1999-2002

d1

0.058

0.077

0.085

0.101

T

T

T

d2

0.0944

0.109

0.121

0.144

T

T

T

d3

0.088

0.152

0.168

0.203

T

T

T

d4

0.169

0.218

0.243

0.295

T

T

T

d5

0.166

0.319

0.355

0.428

T

T

T

d6

0.295

0.503

0.558

0.659

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 5 Volatility shifts test after controlling for conditional heteroskedasticity: Interest rates

(a) 30 days

Period

Scale

D-statistic

Critical Values

H0: Homogeneity

10%

5%

1%

10%

5%

1%

2000-Jan 2001

d1

0.094

0.152

0.169

0.203

T

T

T

d2

0.194

0.213

0.236

0.287

T

T

T

d3

0.148

0.315

0.351

0.421

T

T

T

d4

0.603

0.503

0.558

0.659

F

F

T

d5

0.999

0.993

0.998

0.999

F

F

T

Feb 2001-Apr 2002

d1

0.161

0.141

0.157

0.188

F

F

T

d2

0.155

0.198

0.220

0.265

T

T

T

d3

0.394

0.291

0.325

0.390

F

F

F

d4

0.584

0.442

0.489

0.586

F

F

T

d5

0.708

0.901

0.948

0.988

T

T

T



More intriguing information

1. Are class size differences related to pupils’ educational progress and classroom processes? Findings from the Institute of Education Class Size Study of children aged 5-7 Years
2. The name is absent
3. The role of statin drugs in combating cardiovascular diseases
4. The name is absent
5. The Works of the Right Honourable Edmund Burke
6. The name is absent
7. The name is absent
8. Migration and Technological Change in Rural Households: Complements or Substitutes?
9. Does Presenting Patients’ BMI Increase Documentation of Obesity?
10. Philosophical Perspectives on Trustworthiness and Open-mindedness as Professional Virtues for the Practice of Nursing: Implications for he Moral Education of Nurses