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. The name is absent2. Enterpreneurship and problems of specialists training in Ukraine
3. TRADE NEGOTIATIONS AND THE FUTURE OF AMERICAN AGRICULTURE
4. Pricing American-style Derivatives under the Heston Model Dynamics: A Fast Fourier Transformation in the Geske–Johnson Scheme
5. Behaviour-based Knowledge Systems: An Epigenetic Path from Behaviour to Knowledge
6. Fertility in Developing Countries
7. Cardiac Arrhythmia and Geomagnetic Activity
8. The name is absent
9. The English Examining Boards: Their route from independence to government outsourcing agencies
10. Industrial Employment Growth in Spanish Regions - the Role Played by Size, Innovation, and Spatial Aspects