Detecting Multiple Breaks in Financial Market Volatility Dynamics



Table 5: Continued. 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, (T = 3000) of the sample in the GARCH.

Samples, T

3000

3000

LavielleMoulines

BIC             LWZ

BIC               LWZ

Returns

( rt )2

|rt|

Number of Breaks

012301230

1230123

Segments           tk

HA : Break in the dynamics of volatility with parameters (30, β1, β2)

DGP1:

(0.5,0.6,0.8)

5

0.00

0.92

0.08

0.00

0.00

1.00

0.00

0.00

0.00

0.79

0.21

0.00

0.00

1.00

0.00

0.00

(0.5,0.6,0.3)

5

0.00

0.91

0.09

0.00

0.00

1.00

0.00

0.00

0.00

0.77

0.22

0.01

0.00

1.00

0.00

0.00

DGP2:

(0.8,0.5,0.8)

5

0.00

0.00

0.96

0.04

0.00

0.00

1.00

0.00

0.00

0.00

0.94

0.06

0.00

0.00

1.00

0.00

H1B

: Break in the constant of volatility with parameters (ω0.

, ω1, ω2)

DGP1:

(0.4,0.5,0.8)

5

0.00

0.90

0.10

0.00

0.01

0.99

0.00

0.00

0.00

0.92

0.08

0.00

0.03

0.97

0.00

0.00

(0.4,0.8,0.4)

5

0.00

0.00

0.99

0.01

0.09

0.00

0.91

0.00

0.00

0.09

0.91

0.00

0.00

0.98

0.02

0.00

DGP2:

(0.1,0.2,0.5)

5

0.00

0.45

0.54

0.01

0.00

1.00

0.00

0.00

0.00

0.16

0.82

0.02

0.00

0.98

0.02

0.00

(0.1,0.5,0.8)

5

0.00

0.01

0.99

0.00

0.00

0.35

0.65

0.00

0.00

0.01

0.94

0.05

0.00

0.39

0.61

0.00

(0.1,0.5,0.1)

5

0.00

0.00

0.99

0.01

0.01

0.00

0.99

0.00

0.00

0.00

0.96

0.04

0.00

0.00

1.00

0.00

(0.1,0.3,0.1)

5

0.00

0.00

0.99

0.01

0.01

0.00

0.99

0.00

0.00

0.00

0.97

0.03

0.01

0.00

0.99

0.00

Hɑ : Break in the variance of the error with parameters (σu0, σu 1, σu2)

DGP1:

(0,1.5,3)

5

0.00

0.74

0.26

0.00

0.00

0.98

0.02

0.00

0.00

0.00

0.75

0.25

0.00

0.87

0.13

0.00

(0,3,5)

5

0.00

0.64

0.34

0.02

0.00

0.99

0.01

0.00

0.00

0.00

0.83

0.17

0.00

0.00

0.99

0.00

Notes: Please refer to the notes in Table 3.

29



More intriguing information

1. The name is absent
2. The Mathematical Components of Engineering
3. Evaluating the Success of the School Commodity Food Program
4. Financial Development and Sectoral Output Growth in 19th Century Germany
5. Towards Learning Affective Body Gesture
6. Poverty transition through targeted programme: the case of Bangladesh Poultry Model
7. The name is absent
8. Inflation and Inflation Uncertainty in the Euro Area
9. The name is absent
10. The name is absent