Structural Breakpoints in Volatility in International Markets



28


(b) Daily change in interest rates

30-day interest rate

60-day interest rate


D3


D4


D5


D6


S6


sum

D1

D2



0    200   400   600   800   1000 1200

0    200   400   600   800   1000 1200

90-day interest rate                                    180-day interest rate

D4


sum

D1

IM......⅛∣'∣∣m⅝4⅜⅜⅜

∙**⅜-


D5


D2

D3

D4

D5


D6


D6


S6


0    200   400   600   800  1000 1200


0    200   400   600   800  1000 1200


Note: The wavelet function used in all cases is a symmmlet, s8. The number is related to the width and
smoothness of the wavelet function. (See Bruce and Gao, 1996).



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