Structural Breakpoints in Volatility in International Markets



26

(b) 60 days

Period

Scale

D-statistic

Critical Values

H0: Homogeneity

10%

5%

1%

10%

5%

1%

2000-Jan 2001

d1

0.079

0.152

0.169

0.203

T

T

T

d2

0.147

0.213

0.236

0.287

T

T

T

d3

0.178

0.315

0.351

0.421

T

T

T

d4

0.488

0.503

0.558

0.659

T

T

T

d5

0.858

0.993

0.998

0.999

T

T

T

Feb 2001-Apr 2002

d1

0.158

0.141

0.157

0.188

F

F

T

d2

0.161

0.198

0.220

0.265

T

T

T

d3

0.337

0.291

0.325

0.390

F

F

T

d4

0.230

0.442

0.489

0.586

T

T

T

d5

0.676

0.901

0.948

0.988

T

T

T

(c) 90 days

Period

Scale

D-statistic

Critical Values

H>:

Homogeneity

10%

5%

1%

10%

5%

1%

2000-Jan 2001

d1

0.174

0.152

0.169

0.203

F

F

T

d2

0.143

0.213

0.236

0.287

T

T

T

d3

0.379

0.315

0.351

0.421

F

F

T

d4

0.216

0.503

0.558

0.659

T

T

T

d5

0.972

0.993

0.998

0.999

T

T

T

Feb 2001-Apr 2002

d1

0.069

0.143

0.158

0.190

T

T

T

d2

0.128

0.200

0.223

0.268

T

T

T

d3

0.160

0.295

0.329

0.394

T

T

T

d4

0.223

0.459

0.508

0.608

T

T

T

d5

0.470

0.901

0.948

0.988

T

T

T

(d) 180 days

Period

Scale

D-statistic

Critical Values

H0: Homogeneity

10%

5%

1%

10%

5%

1%

2000-Jan 2001

d1

0.153

0.152

0.169

0.203

F

T

T

d2

0.218

0.213

0.236

0.287

F

T

T

d3

0.364

0.315

0.351

0.421

F

F

T

d4

0.270

0.503

0.558

0.659

T

T

T

d5

0.733

0.993

0.998

0.999

T

T

T

Feb 2001-Apr 2002

d1

0.135

0.143

0.158

0.190

T

T

T

d2

0.145

0.200

0.223

0.268

T

T

T

d3

0.132

0.295

0.329

0.394

T

T

T

d4

0.358

0.459

0.508

0.608

T

T

T

d5

0.394

0.901

0.948

0.988

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.



More intriguing information

1. 5th and 8th grade pupils’ and teachers’ perceptions of the relationships between teaching methods, classroom ethos, and positive affective attitudes towards learning mathematics in Japan
2. New issues in Indian macro policy.
3. The Functions of Postpartum Depression
4. Tax systems and tax reforms in Europe: Rationale and open issue for more radical reforms
5. Developmental changes in the theta response system: a single sweep analysis
6. The name is absent
7. Passing the burden: corporate tax incidence in open economies
8. The name is absent
9. Proceedings of the Fourth International Workshop on Epigenetic Robotics
10. The name is absent