Table 5: Size, Power and Frequency Distribution of the number of change-points obtained
with the Lavielle and Moulines (2000) test when there are two breaks at 0.33T and 0.67T of the
sample in the GARCH process.
Samples, T Lavielle & Moulines |
1000 1000 BIC LWZ BIC LWZ |
Returns |
( rt )2 |rt| |
Number of Breaks |
012≥3012≥3012≥3012≥3 |
Segments tk |
HA : Break in the dynamics of volatility with parameters (β0, β1, β2) |
DGP1:
(0.5,0.6,0.8) |
5 |
0.00 |
0.95 |
0.05 |
0.00 |
0.01 |
0.99 |
0.00 |
0.00 |
0.00 |
0.98 |
0.02 |
0.00 |
0.06 |
0.94 |
0.00 |
0.00 |
3 |
0.00 |
1.00 |
0.00 |
0.00 |
0.01 |
0.99 |
0.00 |
0.00 |
0.00 |
0.97 |
0.03 |
0.00 |
0.02 |
0.98 |
0.00 |
0.00 | |
(0.5,0.6,0.3) |
5 |
0.14 |
0.47 |
0.39 |
0.00 |
0.94 |
0.04 |
0.02 |
0.00 |
0.16 |
0.56 |
0.28 |
0.00 |
0.93 |
0.07 |
0.00 |
0.00 |
3 |
0.20 |
0.50 |
0.28 |
0.00 |
0.97 |
0.03 |
0.00 |
0.00 |
0.19 |
0.62 |
0.19 |
0.00 |
0.96 |
0.04 |
0.00 |
0.00 | |
DGP2: | |||||||||||||||||
(0.8,0.5,0.8) |
5 |
0.00 |
0.03 |
0.90 |
0.06 |
0.70 |
0.19 |
0.11 |
0.00 |
0.01 |
0.00 |
0.99 |
0.36 |
0.06 |
0.58 |
0.00 |
0.00 |
3 |
0.03 |
0.97 |
0.00 |
0.00 |
0.68 |
0.32 |
0.00 |
0.00 |
0.00 |
0.01 |
0.99 |
0.00 |
0.51 |
0.08 |
0.41 |
0.00 |
HB : Break in the constant of volatility with parameters (ω0, ω 1, ω2)
DGP1:
(0.4,0.5,0.8) |
5 3 |
0.05 0.02 |
0.91 0.97 |
0.04 0.01 |
0.00 0.00 |
0.66 0.52 |
0.34 0.48 |
0.00 0.00 |
0.00 0.00 |
0.04 0.05 |
0.94 0.94 |
0.02 0.01 |
0.00 0.00 |
0.63 0.69 |
0.37 0.31 |
0.00 0.00 |
0.00 0.00 |
(0.4,0.8,0.4) |
5 |
0.09 |
0.00 |
0.90 |
0.01 |
0.92 |
0.00 |
0.08 |
0.00 |
0.09 |
0.02 |
0.89 |
0.00 |
0.92 |
0.00 |
0.08 |
0.00 |
3 |
0.02 |
0.00 |
0.98 |
0.00 |
0.90 |
0.00 |
0.10 |
0.00 |
0.09 |
0.01 |
0.90 |
0.00 |
0.97 |
0.00 |
0.03 |
0.00 | |
DGP2: | |||||||||||||||||
(0.1,0.2,0.5) |
5 |
0.00 |
0.82 |
0.18 |
0.00 |
0.01 |
0.99 |
0.00 |
0.00 |
0.00 |
0.67 |
0.30 |
0.03 |
0.00 |
1.00 |
0.00 |
0.00 |
3 |
0.00 |
0.91 |
0.09 |
0.00 |
0.00 |
1.00 |
0.00 |
0.00 |
0.00 |
0.72 |
0.28 |
0.00 |
0.00 |
1.00 |
0.00 |
0.00 | |
(0.1,0.5,0.8) |
5 |
0.00 |
0.18 |
0.79 |
0.03 |
0.00 |
0.99 |
0.01 |
0.00 |
0.00 |
0.36 |
0.60 |
0.04 |
0.00 |
0.96 |
0.04 |
0.00 |
3 |
0.00 |
0.20 |
0.80 |
0.00 |
0.00 |
1.00 |
0.00 |
0.00 |
0.00 |
0.34 |
0.66 |
0.00 |
0.00 |
0.91 |
0.09 |
0.00 | |
(0.1,0.5,0.1) |
5 |
0.00 |
0.00 |
0.95 |
0.05 |
0.01 |
0.00 |
0.99 |
0.00 |
0.00 |
0.00 |
0.94 |
0.06 |
0.00 |
0.00 |
1.00 |
0.00 |
3 |
0.00 |
0.00 |
1.00 |
0.00 |
0.01 |
0.00 |
0.99 |
0.00 |
0.00 |
0.00 |
1.00 |
0.00 |
0.02 |
0.00 |
0.98 |
0.00 | |
(0.1,0.3,0.1) |
5 |
0.00 |
0.00 |
0.99 |
0.01 |
0.77 |
0.00 |
0.23 |
0.00 |
0.02 |
0.02 |
0.93 |
0.03 |
0.75 |
0.02 |
0.23 |
0.00 |
3 |
0.01 |
0.02 |
0.97 |
0.00 |
0.68 |
0.00 |
0.32 |
0.00 |
0.04 |
0.00 |
0.96 |
0.00 |
0.71 |
0.02 |
0.27 |
0.00 | |
H1C |
: Break in the variance of the error with parameters (σu0, |
σu1,σu2) | |||||||||||||||
DGP1: | |||||||||||||||||
(0,1.5,3) |
5 |
0.00 |
0.78 |
0.22 |
0.00 |
0.00 |
0.98 |
0.02 |
0.00 |
0.00 |
0.37 |
0.56 |
0.07 |
0.00 |
0.96 |
0.04 |
0.00 |
3 |
0.00 |
0.97 |
0.03 |
0.00 |
0.00 |
1.00 |
0.00 |
0.00 |
0.00 |
0.53 |
0.47 |
0.00 |
0.00 |
1.00 |
0.00 |
0.00 | |
(0,3,5) |
5 |
0.00 |
0.76 |
0.24 |
0.00 |
0.00 |
0.96 |
0.04 |
0.00 |
0.00 |
0.00 |
0.81 |
0.19 |
0.00 |
0.00 |
0.98 |
0.02 |
3 |
0.00 |
0.96 |
0.04 |
0.00 |
0.00 |
1.00 |
0.00 |
0.00 |
0.00 |
0.00 |
1.00 |
0.00 |
0.00 |
0.00 |
1.00 |
0.00 |
28
More intriguing information
1. Cultural Neuroeconomics of Intertemporal Choice2. The name is absent
3. Quality practices, priorities and performance: an international study
4. Evaluating the Success of the School Commodity Food Program
5. Weak and strong sustainability indicators, and regional environmental resources
6. The name is absent
7. Midwest prospects and the new economy
8. The name is absent
9. The name is absent
10. The name is absent