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.



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