Table 4: Size, Power and Frequency Distribution of the number of change-points obtained
with the Kokoszka and Leipus (2000) test when there are two breaks at 0.33T and 0.67T of the
sample in the GARCH process.
Samples, T Returns Number of Breaks |
0 |
( rt ) 2 12 |
1000 ≥30 |
|rt| 12 |
≥3 |
0 |
( rt ) 2 12 |
3000 ≥30 |
|rt| 12 |
≥3 | ||||||
HA : Break in the dynamics of volatility with parameters (β0, β1, β2) | ||||||||||||||||
DGP1: | ||||||||||||||||
(0.5,0.6,0.8) |
0.00 |
0.88 |
0.01 |
0.11 |
0.00 |
0.00 |
0.87 |
0.13 |
0.00 |
0.87 |
0.13 |
0.00 |
0.00 |
0.00 |
1.00 |
0.00 |
(0.5,0.6,0.3) |
0.00 |
0.60 |
0.39 |
0.01 |
0.00 |
0.00 |
0.99 |
0.01 |
0.00 |
0.00 |
0.99 |
0.01 |
0.00 |
0.00 |
1.00 |
0.00 |
DGP2: | ||||||||||||||||
(0.8,0.5,0.8) |
0.00 |
0.00 |
1.00 |
0.00 |
0.00 |
0.00 |
1.00 |
0.00 |
0.00 |
0.00 |
1.00 |
0.00 |
0.00 |
0.00 |
1.00 |
0.00 |
HB : Break in the constant of volatility with parameters (ω 0, ω 1, ω 2) | ||||||||||||||||
DGP1: | ||||||||||||||||
(0.4,0.5,0.8) |
0.00 |
0.39 |
0.61 |
0.00 |
0.00 |
0.00 |
0.71 |
0.29 |
0.00 |
0.00 |
1.00 |
0.00 |
0.00 |
0.00 |
1.00 |
0.00 |
(0.4,0.8,0.4) |
0.00 |
0.53 |
0.39 |
0.08 |
0.00 |
0.00 |
0.77 |
0.23 |
0.00 |
0.30 |
0.66 |
0.04 |
0.00 |
0.00 |
0.99 |
0.01 |
DGP2: | ||||||||||||||||
(0.1,0.2,0.5) |
0.00 |
0.01 |
0.99 |
0.00 |
0.00 |
0.00 |
0.99 |
0.01 |
0.00 |
0.00 |
0.99 |
0.01 |
0.00 |
0.00 |
1.00 |
0.00 |
(0.1,0.5,0.8) |
0.00 |
0.00 |
1.00 |
0.00 |
0.00 |
0.00 |
1.00 |
0.00 |
0.00 |
0.00 |
1.00 |
0.00 |
0.00 |
0.00 |
1.00 |
0.00 |
(0.1,0.5,0.1) |
0.00 |
0.06 |
0.94 |
0.00 |
0.00 |
0.00 |
0.98 |
0.02 |
0.00 |
0.00 |
1.00 |
0.00 |
0.00 |
0.00 |
1.00 |
0.00 |
(0.1,0.3,0.1) |
0.00 |
0.20 |
0.78 |
0.02 |
0.00 |
0.00 |
0.97 |
0.03 |
0.00 |
0.00 |
0.99 |
0.01 |
0.00 |
0.00 |
0.99 |
0.00 |
H1C : Break in |
the variance |
of the |
error |
with parameters (σ |
u0,σu |
1, σ U 2 ) | ||||||||||
DGP1: | ||||||||||||||||
(0,1.5,3) |
0.00 |
0.00 |
1.00 |
0.00 |
0.00 |
0.00 |
1.00 |
0.00 |
0.00 |
0.00 |
1.00 |
0.00 |
0.00 |
0.00 |
1.00 |
0.00 |
(0,3,5) |
0.00 |
1.00 |
0.00 |
0.00 |
0.00 |
0.00 |
1.00 |
0.00 |
0.00 |
0.00 |
1.00 |
0.00 |
0.00 |
0.00 |
1.00 |
0.00 |
Notes: The K&L test (see notes in Table 1) is applied following a sequential sample segmentation approach and the frequency
distribution of the change-points is reported. The highlighted numbers refer to the true number of breaks in the simulated process.
27
More intriguing information
1. The use of formal education in Denmark 1980-19922. The name is absent
3. Achieving the MDGs – A Note
4. The name is absent
5. The name is absent
6. An Intertemporal Benchmark Model for Turkey’s Current Account
7. The name is absent
8. Monetary Discretion, Pricing Complementarity and Dynamic Multiple Equilibria
9. The name is absent
10. Labour Market Institutions and the Personal Distribution of Income in the OECD