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



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