Table 7: Testing for multiple change-points in the volatility of daily Stock Market Indices
(SMI) over the period 1989-2001
Lavielle and Moulines Test
|
SMI |
Process |
Selection Criterion |
Number & Location of Breaks | |
|
FTSE |
|rt| |
BIC -2.616(2), -2.610(1) LWZ -2.599(1), -2.549(0) |
2 1 |
3/11/92, 1/8/97 1/8/97 |
|
( rt )2 |
BIC -2.123(1), -2.070(0) LWZ -2.112(1), -2.069(0) |
1 1 |
10/7/98 10/7/98 | |
|
HSI |
|rt| |
BIC -1.121(3), -1.117(2) LWZ -1.108(1), -1.074(0) |
3 1 |
3/7/92, 24/1/95, 15/8/97 15/8/97 |
|
( rt )2 |
BIC 2.005(1), 2.009(0) LWZ 2.010(0) |
1 0 |
15/8/97 | |
|
NIKKEI |
|rt| |
BIC -1.874(2), -1.867(1) LWZ -1.857(1), -1.851(0) |
2 1 |
15/9/92, 30/7/97 20/8/98 |
|
( rt )2 |
BIC -0.457(2), -0.452(1) LWZ -0.448(0) |
2 0 |
15/9/92, 14/10/97 | |
|
S&P500 |
|rt| |
BIC -2.525(3), -2.513(2) LWZ -2.492(2), -2.491(1) |
3 2 |
27/12/91, 5/1/96, 28/7/98 20/8/91, 3/2/97 |
|
( rt )2 |
BIC -1.602(1), -1.559(0) LWZ -1.591(1), -1.559(0) |
1 1 |
14/10/97 14/10/97 | |
Notes: For brief data description refer to note 1, Table 6. The Lavielle and Moulines test is described in section 1.2. The number of
segments for multiple breaks denoted by m is set equal to 3. The selection criteria BIC and LWZ refer to the Bayesian or Schwarz
Information Criterion and modified BIC proposed in Liu et al. (1997).
31
More intriguing information
1. Nonparametric cointegration analysis2. The name is absent
3. IMPLICATIONS OF CHANGING AID PROGRAMS TO U.S. AGRICULTURE
4. Before and After the Hartz Reforms: The Performance of Active Labour Market Policy in Germany
5. MATHEMATICS AS AN EXACT AND PRECISE LANGUAGE OF NATURE
6. Reputations, Market Structure, and the Choice of Quality Assurance Systems in the Food Industry
7. Explaining Growth in Dutch Agriculture: Prices, Public R&D, and Technological Change
8. The name is absent
9. The name is absent
10. A Regional Core, Adjacent, Periphery Model for National Economic Geography Analysis