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 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 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 | |
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