I find several volatility shifts in the variance of the quoted and relative spreads. Since spread is a measure of liquidity, the higher the number of volatility shifts for a particular spread, the higher the volatility of liquidity of the currency pair associated with that spread.
Tables 6.4(a,b,c) to 6.9(a,b,c) provide a list of the dates on which volatility changes were found to have occurred. The changing unconditional volatility of each spread can be viewed on Graphs 6.4(a,b,c) to 6.9(a,b,c).
The greatest number of change points occurs for the GB/US spread in the UK time zone (24 for the quoted spread and 20 for the relative spread). But there are quite large numbers of change points for other spreads: eighteen for the quoted GB/US spread in US time zone, seventeen for the relative GB/US spread in the Asia time zone, sixteen for the quoted JP/US spread in the UK time zone and fifteen for the relative JP/US spread in the UK time zone. Ten change points were found for the quoted EU/US spread in the Asia time zone but we need to consider that the EU/US exchange rate was in place for only four years in the sample. The year which overall has the most variance change points, considering spreads of all exchange rates, in all time zones, is 2003 for both the quoted and relative spread. Therefore, spreads were not more volatile during the Asian crisis. This is in contrast to my findings from the exchange rate volatility where most variance shifts were found during that period. For the quoted and relative spread,
170
the most change points were found in the UK time zone, forty-nine and forty-two respectively.
I should mention that the periods with the highest volatility are short periods surrounding holidays where volatility increased dramatically. These included: December 26th 1996 to January 3nd 1997 for the GB/US quoted and relative spread (US time zone) and December 26th 2003 to January 7th 2004 for the EU/US quoted and relative spread (US time zone). For all spreads (quoted and relative) under consideration year 2004 stands out as being the year with the most periods of low volatility. Finally, it is important to mention that I don’t find enough evidence to conclude that exchange rate volatility coincides with spread volatility.
Table 6.1(a): Change Points Against the Japanese Yen, (US Time Zone)
In this table change point indicates the date of a volatility shift, Interval is the date points between which the variance of exchange rate changes was stationary. Standard deviation is the standard deviation of exchange rate changes for the appropriate interval. The % change is the percentage increase or decrease in the standard deviation relative to the previous interval. The critical value of at a 95% level is 1.358.
Change Point Interval σx100 % Change
January 13 1995 January 2 1995 – January 13 1995 0.327
March 02 1995 January 14 1995 – March 02 1995 0.148 -54.74 October 06 1995 March 03 1995 – October 06 1995 0.419 183.11 May 06 1997 October 07 1995 – May 06 1997 0.198 -52.74 June 17 1997 May 07 1997 – June 17 1997 0.47 137.37 June 11 1998 June 18 1997 – June 11 1998 0.291 -38.09 September 01 1998 June 12 1998 – September 01 1998 0.486 67.01 October 21 1998 September 02 1998 – October 21 1998 0.829 70.58 April 02 1999 October 22 1998 – April 02 1999 0.396 -52.23 June 07 2000 April 03 1999 – June 07 2000 0.305 -22.98 June 08 2000 – January 31 2005 0.235 -22.95
171
Table 6.1(b): Change Points Against the British Pound, (US Time Zone)
In this table change point indicates the date of a volatility shift, Interval is the date points between which the variance of exchange rate changes was stationary. Standard deviation is the standard deviation of exchange rate changes for the appropriate interval. The % change is the percentage increase or decrease in the standard deviation relative to the previous interval. The critical value of at a 95% level is 1.358.
Change Point Interval σx100 % Change
December 30 2003 January 2 1995 – December 30 2003 0.182
May 25 2004 December 31 2003 – May 25 2004 0.311 70.88 May 26 2004 – January 31 2005 0.204 -34.41
Table 6.1(c): Change Points Against the Euro, (US Time Zone)
In this table change point indicates the date of a volatility shift, Interval is the date points between which the variance of exchange rate changes was stationary. Standard deviation is the standard deviation of exchange rate changes for the appropriate interval. The % change is the percentage increase or decrease in the standard deviation relative to the previous interval. The critical value of at a 95% level is 1.358.
Change Point Interval σx100 % Change
September 24 2001 January 01 2001 – September 24 2001 0.285
June 18 2002 September 25 2001 – June 18 2002 0.204 -28.42 August 13 2002 June 19 2002 – August 13 2002 0.331 62.25 March 13 2003 August 14 2002 – March 13 2003 0.182 -45.02
May 28 2004 March 14 2003 – May 28 2004 0.269 47.80
May 29 2004 – January 31 2005 0.216 -19.70
Table 6.2(a): Change Points Against the Japanese Yen, (UK Time Zone)
In this table change point indicates the date of a volatility shift, Interval is the date points between which the variance of exchange rate changes was stationary. Standard deviation is the standard deviation of exchange rate changes for the appropriate interval. The % change is the percentage increase or decrease in the standard deviation relative to the previous interval. The critical value of at a 95% level is 1.358.
Change Point Interval σx100 % Change
March 03 1995 January 2 1995 – March 03 1995 0.188
October 03 1995 March 04 1995 – October 03 1995 0.403 114.3617 May 06 1997 October 04 1995 – May 06 1997 0.196 -51.3648 June 13 1997 May 07 1997 – June 13 1997 0.538 174.4898 June 16 1998 June 14 1997 – June 16 1998 0.298 -44.6097 July 03 1998 June 17 1998 - July 03 1998 0.7 134.8993
172
September 01 1998 July 04 1998 – September 01 1998 0.316 -54.8571 October 09 1998 September 02 1998 – October 09 1998 0.887 180.6962 March 16 1999 October 10 1998 – March 16 1999 0.435 -50.9583 June 12 2000 March 17 1999 – June 12 2000 0.287 -34.023 June 13 2000 - January 31 2005 0.222 -22.6481
Table 6.2(b): Change Points Against the British Pound, (UK Time Zone)
In this table change point indicates the date of a volatility shift, Interval is the date points between which the variance of exchange rate changes was stationary. Standard deviation is the standard deviation of exchange rate changes for the appropriate interval. The % change is the percentage increase or decrease in the standard deviation relative to the previous interval. The critical value of at a 95% level is 1.358.
Change Point Interval σx100 % Change
June 06 1995 January 2 1995 – June 06 1995 0.226
October 28 1996 June 07 1995 – October 28 1996 0.123 -45.5752 June 21 2002 October 29 1996 – June 21 2002 0.184 49.5935 January 31 2005 June 22 2002 – January 31 2005 0.213 15.76087
Table 6.2(c): Change Points Against the Euro, (UK Time Zone)
In this table change point indicates the date of a volatility shift, Interval is the date points between which the variance of exchange rate changes was stationary. Standard deviation is the standard deviation of exchange rate changes for the appropriate interval. The % change is the percentage increase or decrease in the standard deviation relative to the previous interval. The critical value of at a 95% level is 1.358.
Change Point Interval σx100 % Change
May 21 2004 January 01 2001 – May 21 2004 0.251
May 22 2004 – January 31 2005 0.191 -23.9044
Table 6.3(a): Change Points Against the Japanese Yen, (ASIA Time Zone)
In this table change point indicates the date of a volatility shift, Interval is the date points between which the variance of exchange rate changes was stationary. Standard deviation is the standard deviation of exchange rate changes for the appropriate interval. The % change is the percentage increase or decrease in the standard deviation relative to the previous interval. The critical value of at a 95% level is 1.358.
Change Point Interval σx100 % Change
March 03 1995 January 02 1995 - March 03 1995 0.208
173
May 09 1997 October 07 1995 – May 09 1997 0.193 -57.40 June 16 1997 May 10 1997 – June 16 1997 0.499 158.55 June 12 1998 June 17 1997 – June 12 1998 0.28 -43.89 June 19 1998 June 13 1998 – June 19 1998 1.107 295.36 October 07 1998 June 20 1998 – October 07 1998 0.392 -64.59 October 20 1998 October 08 1998 – October 20 1998 1.106 182.14 April 05 1999 October 21 1998 – April 05 1999 0.374 -66.18 June 05 2000 April 06 – 1999 – June 05 2000 0.288 -22.99 June 06 2000 – January 31 2005 0.233 -19.10
Table 6.3(b): Change Points Against the British Pound, (ASIA Time Zone)
In this table change point indicates the date of a volatility shift, Interval is the date points between which the variance of exchange rate changes was stationary. Standard deviation is the standard deviation of exchange rate changes for the appropriate interval. The % change is the percentage increase or decrease in the standard deviation relative to the previous interval. The critical value of at a 95% level is 1.358.
Change Point Interval σx100 % Change
March 03 1995 January 02 1995 – March 03 1995 0.257
March 15 1995 March 04 1995 – March 15 1995 0.848 229.96 September 27 1995 March 16 1995 – September 27 1995 0.279 -67.10 December 04 1996 September 28 1995 – December 04 1996 0.206 -26.16 December 24 2003 December 05 1996 – December 24 2003 0.293 42.23 December 25 2003 – January 31 2005 0.969 230.72
Table 6.3(c): Change Points Against the Euro, (ASIA Time Zone)
In this table change point indicates the date of a volatility shift, Interval is the date points between which the variance of exchange rate changes was stationary. Standard deviation is the standard deviation of exchange rate changes for the appropriate interval. The % change is the percentage increase or decrease in the standard deviation relative to the previous interval. The critical value of at a 95% level is 1.358.
Change Point Interval σx100 % Change
September 18 2001 January 01 2001 – September 18 2001 0.335
March 13 2003 September 19 2001 – March 13 2003 0.233 -30.45
May 11 2004 March 14 2003 – May 11 2004 0.321 37.77
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Table 6.4(a): Change Points Quoted Spread JP/US, (US Time Zone)
In this table change point indicates the date of a volatility shift, Interval is the date points between which the variance of exchange rate changes was stationary. Standard deviation is the standard deviation of exchange rate changes for the appropriate interval. The % change is the percentage increase or decrease in the standard deviation relative to the previous interval. The critical value of at a 95% level is 1.358.
Change Point Interval σx10,000 % Change
April 26 1996 January 02 1995 – April 26 1996 76.4
January 09 2002 April 27 1996 – January 09 2002 65.5 -14.27 January 10 2002 – January 31 2005 53.1 -18.93
Table 6.4(b): Change Points Quoted Spread GB/US, (US Time Zone)
In this table change point indicates the date of a volatility shift, Interval is the date points between which the variance of exchange rate changes was stationary. Standard deviation is the standard deviation of exchange rate changes for the appropriate interval. The % change is the percentage increase or decrease in the standard deviation relative to the previous interval. The critical value of at a 95% level is 1.358.
Change Point Interval σx10,000 % Change
April 03 1995 January 02 1995 – April 03 1995 0.567
July 06 1995 April 04 1995 – July 06 1995 0.855 50.65 December 25 1995 July 07 1995 – December 25 1995 0.514 -39.86 January 08 1996 December 26 1995 – January 08 1996 1.689 228.55 December 25 1996 January 09 1996 – December 25 1996 0.471 -72.11 January 03 1997 December 26 1996 – January 03 1997 5.033 968.23 September 25 1997 January 04 1997 – September 25 1997 0.703 -86.03 January 21 1998 September 26 1997 – January 21 1998 1.066 51.56 November 23 1998 January 22 1998 – November 23 1998 0.649 -39.11 May 18 2000 November 24 1998 – May 18 2000 0.982 51.30 December 24 2001 May 19 2000 – December 24 2001 0.716 -27.06 January 08 2002 December 25 2001 – January 08 2002 2.079 190.29 December 22 2003 January 09 2002 – December 22 2003 0.541 -73.99 January 06 2004 December 23 2003 – January 06 2004 2.029 275.26 August 17 2004 January 07 2004 – August 17 2004 0.376 -81.46 August 18 2004 – January 31 2005 0.256 -32.01
175
Table 6.4(c): Change Points Quoted Spread EU/US, (US Time Zone)
In this table change point indicates the date of a volatility shift, Interval is the date points between which the variance of exchange rate changes was stationary. Standard deviation is the standard deviation of exchange rate changes for the appropriate interval. The % change is the percentage increase or decrease in the standard deviation relative to the previous interval. The critical value of at a 95% level is 1.358.
Change Point Interval σx10,000 % Change
September 06 2001 January 01 2001 – September 06 2001 0.351
January 08 2002 September 07 2001 – January 08 2002 0.633 80.27 December 20 2002 January 09 2002 – December 20 2002 0.450 -28.93 January 07 2003 December 21 2002 – January 07 2003 1.180 162.56 April 23 2003 January 08 2003 – April 23 2003 0.570 -51.72 September 23 2003 April 24 2003 – September 23 2003 0.378 -33.75 December 25 2003 September 24 2003 – December 25 2003 0.260 -31.15 January 07 2004 December 26 2003 – January 07 2004 3.544 1263.25 December 24 2004 January 08 2004 – December 24 2004 0.310 -91.25 December 25 2004 – January 31 2005 0.517 66.69
Table 6.5(a): Change Points Quoted Spread JP/US, (UK Time Zone)
In this table change point indicates the date of a volatility shift, Interval is the date points between which the variance of exchange rate changes was stationary. Standard deviation is the standard deviation of exchange rate changes for the appropriate interval. The % change is the percentage increase or decrease in the standard deviation relative to the previous interval. The critical value of at a 95% level is 1.358.
Change Point Interval σx10,000 % Change
May 28 1998 January 02 1995 – May 28 1998 65.70
December 23 1998 May 29 1998 – December 23 1998 47.70 -27.40 January 04 1999 December 24 1998 – January 04 1999 255.70 436.06 April 07 1999 January 05 1999 – April 07 1999 71.10 -72.19 March 03 2000 April 08 1999 – March 03 2000 53.60 -24.61 May 08 2000 March 04 2000 – May 08 2000 101.90 90.11 December 06 2000 May 09 2000 – December 06 2000 62.40 -38.76 January 03 2001 December 07 2000 – January 03 2001 181.50 190.87 June 21 2001 January 04 2001 – June 21 2001 67.80 -62.64 December 24 2001 June 22 2001 – December 24 2001 47.40 -30.09 January 03 2002 December 25 2001 – January 03 2002 218.30 360.55 December 25 2002 January 04 2002 – December 25 2002 57.40 -73.71 January 09 2003 December 26 2002 – January 09 2003 205.90 258.71 December 25 2003 January 10 2003 – December 25 2003 54.60 -73.48 January 05 2004 December 26 2003 – January 05 2004 186.80 242.12
176
July 06 2004 January 06 2004 – July 06 2004 32.90 -82.39 July 07 2004 – January.31.2005 20.50 -37.69
Table 6.5(b): Change Points Quoted Spread GB/US, (UK Time Zone)
In this table change point indicates the date of a volatility shift, Interval is the date points between which the variance of exchange rate changes was stationary. Standard deviation is the standard deviation of exchange rate changes for the appropriate interval. The % change is the percentage increase or decrease in the standard deviation relative to the previous interval. The critical value of at a 95% level is 1.358.
Change Point Interval σx10,000 % Change
April 17 1995 January 02 1995 – April 17 1995 0.518
July 11 1995 April 18 1995 – July 11 1995 0.985 90.15 August 28 1995 July 12 1995 – August 28 1995 0.370 -62.44 September 22 1995 August 29 1995 – September 22 1995 0.671 81.35 December 25 1995 September 23 1995 – December 25 1995 0.304 -54.69 May 20 1996 December 26 1995 – May 20 1996 0.631 107.70 December 24 1997 May 21 1996 – December 24 1997 0.436 -30.91 January 05 1998 December 25 1997 – January 05 1998 2.293 425.69 May 21 1998 January 06 1998 – May 21 1998 0.421 -81.62 June 05 1998 May 22 1998 – June 05 1998 1.068 153.44 December 11 1998 June 06 1998 – December 11 1998 0.351 -67.11 December 29 1998 December 12 1998 – December 29 1998 1.930 449.44 July 19 1999 December 30 1998 – July 19 1999 0.760 -60.62
May 28 2001 July 20 1999 – May 28 2001 0.991 30.42
December 24 2001 May 29 2001 – December 24 2001 0.573 -42.22 January 03 2002 December 25 2001 – January 03 2002 3.115 443.92 March 12 2002 January 04 2002 – March 12 2002 0.455 -85.39
May 22 2002 March 13 2002 – May 22 2002 0.882 93.75
December 25 2002 May 23 2002 – December 25 2002 0.517 -41.38 December 30 2002 December 26 2002 – December 30 2002 6.240 1106.91 December 25 2003 December 31 2002 – December 25 2003 0.469 -92.48 December 30 2003 December 26 2003 – December 30 2003 4.923 949.56 July 19 2004 December 30 2003 – July 19 2004 0.282 -94.27 December 13 2004 July 19 2004 – December 13 2004 0.170 -39.62 December 14 2004 – January 31 2005 0.319 87.35
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Table 6.5(c): Change Points Quoted Spread EU/US, (UK Time Zone)
In this table change point indicates the date of a volatility shift, Interval is the date points between which the variance of exchange rate changes was stationary. Standard deviation is the standard deviation of exchange rate changes for the appropriate interval. The % change is the percentage increase or decrease in the standard deviation relative to the previous interval. The critical value of at a 95% level is 1.358.
Change Point Interval σx10,000 % Change
April 04 2002 January 01 2001 – April 04 2002 0.472
December 24 2002 April 05 2002 – December 24 2002 0.363 -23.06 December 30 2002 December 25 2002 – December 30 2002 2.202 506.4828 February 19 2003 December 31 2002 – February 19 2003 0.501 -77.2313 April 18 2003 February 20 2003 – April 18 2003 0.272 -45.7995 April 23 2003 April 19 2003 – April 23 2003 1.965 623.1175 December 25 2003 April 24 2003 – December 25 2003 0.297 -84.8846 January 05 2004 December 26 2003 – January 05 2004 2.469 731.1725 December 23 2004 January 06 2004 – December 23 2004 0.250 -89.8603 December 24 2004 – January 31 2005 0.434 73.52463
Table 6.6(a): Change Points Quoted Spread JP/US, (ASIA Time Zone)
In this table change point indicates the date of a volatility shift, Interval is the date points between which the variance of exchange rate changes was stationary. Standard deviation is the standard deviation of exchange rate changes for the appropriate interval. The % change is the percentage increase or decrease in the standard deviation relative to the previous interval. The critical value of at a 95% level is 1.358.
Change Point Interval σx10,000 % Change
October 03 1995 January 02 1995 – October 03 1995 0.629
November 04 1996 October 04 1995 – November 04 1996 0.518 -17.65 September 25 1997 November 05 1996 – September 25 1997 0.955 84.23 January 27 2000 September 26 1997 – January 27 2000 0.810 -15.21 May 30 2001 January 28 2000 – May 30 2001 0.820 1.28 August 17 2001 May 31 2001 – August 17 2001 0.632 -22.93 May 02 2002 August 18 2001 – May 02 2002 0.680 7.63 January 17 2003 May 03 2002 – January 17 2003 0.504 -25.97 October 27 2003 January 18 2003 – October 27 2003 0.520 3.31 October 28 2003 – January 31 2005 0.590 13.32
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Table 6.6(b): Change Points Quoted Spread GB/US, (ASIA Time Zone)
In this table change point indicates the date of a volatility shift, Interval is the date points between which the variance of exchange rate changes was stationary. Standard deviation is the standard deviation of exchange rate changes for the appropriate interval. The % change is the percentage increase or decrease in the standard deviation relative to the previous interval. The critical value of at a 95% level is 1.358.
Change Point Interval σx10,000 % Change
January 17 1995 January 02 1995 – January 17 1995 0.344
March 03 1995 January 18 1995 – March 03 1995 0.188 -45.16 April 21 1995 March 04 1995 – April 21 1995 0.543 188.24 January 12 1996 April 22 1995 – January 12 1996 0.283 -47.93 January 22 1998 January 13 1996 – January 22 1998 0.242 -14.58 October 07 1998 January 23 1998 – October 07 1998 0.181 -24.92 June 08 1999 October 08 1998 – June 08 1999 0.285 57.33 August 10 1999 June 09 1999 – August 10 1999 0.425 48.82 December 10 1999 August 11 1999 – December 10 1999 0.211 -50.32 May 29 2000 December 11 1999 – May 29 2000 0.418 98.17 March 01 2001 May 30 2000 – March 01 2001 0.314 -25.01 December 24 2001 March 02 2001 – December 24 2001 0.248 -20.88 January 03 2002 December 25 2001 – January 03 2002 0.876 253.34 December 23 2002 January 04 2002 – December 23 2002 0.179 -79.54 April 29 2003 December 24 2002 – April 29 2003 0.306 70.85 February 19 2004 April 30 2003 – February 19 2004 0.228 -25.60 December 06 2004 February 20 2004 – December 06 2004 0.125 -45.11 December 07 2004 – January 31 2005 0.197 57.90
Table 6.6(c): Change Points Quoted Spread EU/US, (ASIA Time Zone)
In this table change point indicates the date of a volatility shift, Interval is the date points between which the variance of exchange rate changes was stationary. Standard deviation is the standard deviation of exchange rate changes for the appropriate interval. The % change is the percentage increase or decrease in the standard deviation relative to the previous interval. The critical value of at a 95% level is 1.358.
Change Point Interval σx10,000 % Change
September 06 2001 January 01 2001 – September 06 2001 0.351
January 08 2002 September 07 2001 – January 08 2002 0.633 80.27 December 20 2002 January 09 2002 – December 20 2002 0.450 -28.93 January 07 2003 December 21 2002 – January 07 2003 1.180 162.56 April 23 2003 January 08 2003 – April 23 2003 0.570 -51.72 September 23 2003 April 24 2003 – September 23 2003 0.378 -33.75 December 25 2003 September 24 2003 – December 25 2003 0.260 -31.15
179
January 07 2004 December 26 2003 – January 07 2004 3.544 1263.25 December 24 2004 January 08 2004 – December 24 2004 0.310 -91.25 December 25 2004 – January 31 2005 0.517 66.69
Table 6.7(a): Change Points Relative Spread JP/US, (US Time Zone)
In this table change point indicates the date of a volatility shift, Interval is the date points between which the variance of exchange rate changes was stationary. Standard deviation is the standard deviation of exchange rate changes for the appropriate interval. The % change is the percentage increase or decrease in the standard deviation relative to the previous interval. The critical value of at a 95% level is 1.358.
Change Point Interval σx10,000 % Change
June 06 1995 January 02 1995 – June 06 1995 0.408
April 26 1996 June 07 1995 – April 26 1996 0.318 -22.07 November 11 1998 April 27 1996 – November 11 1998 0.219 -31.07 January 06 1999 November 12 1998 – January 06 1999 0.428 95.17 December 21 1999 January 07 1999 – December 21 1999 0.229 -46.57 May 18 2000 December 22 1999 – May 18 2000 0.350 52.89 January 09 2002 May 19 2000 – January 09 2002 0.240 -31.30 June 30 2003 January 10 2002 – June 30 2003 0.192 -20.19 January 05 2004 July 01 2003 – January 05 2004 0.293 52.89 April 27 2004 January 06 2004 – April 27 2004 0.188 -35.78 April 28 2004 – January 31 2005 0.132 -30.10
Table 6.7(b): Change Points Relative Spread GB/US, (US Time Zone)
In this table change point indicates the date of a volatility shift, Interval is the date points between which the variance of exchange rate changes was stationary. Standard deviation is the standard deviation of exchange rate changes for the appropriate interval. The % change is the percentage increase or decrease in the standard deviation relative to the previous interval. The critical value of at a 95% level is 1.358.
Change Point Interval σx10,000 % Change
April 03 1995 January 02 1995 - April 03 1995 0.159
July 06 1995 April 04 1995 – July 06 1995 0.235 47.82 December 25 1995 July 07 1995 – December 25 1995 0.143 -39.30 January 08 1996 December 26 1995 – January 08 1996 0.476 234.07 December 25 1996 January 09 1996 – December 25 1996 0.132 -72.29 January 03 1997 December 26 1996 - January 03 1997 1.300 884.59 September 25 1997 January 04 1997 – September 25 1997 0.188 -85.55 January 211998 September 26 1997 – January 21 1998 0.280 48.88 August 07 1998 January 22 1998 – August 07 1998 0.153 -45.20 March 22 1999 August 08 1998 – March 22 1999 0.220 43.58
180
January 11 2000 March 23 1999 – January 11 2000 0.289 31.55 December 24 2001 January 12 2000 – December 24 2001 0.218 -24.52 January 08 2002 December 25 2001 – January 08 2002 0.628 187.46 December 23 2003 January 09 2002 – December 23 2003 0.152 -75.86 January 06 2004 December 24 2003 – January 06 2004 0.522 244.25 August 17 2004 January 07 2004 – August 17 2004 0.090 -82.67 August 18 2004 – January 31 2005 0.060 -33.37
Table 6.7(c): Change Points Relative Spread EU/US, (US Time Zone)
In this table change point indicates the date of a volatility shift, Interval is the date points between which the variance of exchange rate changes was stationary. Standard deviation is the standard deviation of exchange rate changes for the appropriate interval. The % change is the percentage increase or decrease in the standard deviation relative to the previous interval. The critical value of at a 95% level is 1.358.
Change Point Interval σx10,000 % Change
August 02 2001 January 01 2001 – August 02 2001 0.170
September 13 2001 August 03 2001 – September 13 2001 0.383 125.04 December 21 2001 September 14 2001 – December 21 2001 0.177 -53.85 January 08 2002 December 22 2001 – January 08 2002 0.622 252.12 December 20 2002 January 09 2002 – December 20 2002 0.220 -64.62 January 07 2003 December 21 2002 – January 07 2003 0.528 139.85 April 23 2003 January 08 2003 – April 23 2003 0.246 -53.40 September 23 2003 April 24 2003 – September 23 2003 0.154 -37.56 December 25 2003 September 24 2003 – December 25 2003 0.099 -35.33 January 07 2004 December 26 2003 – January 07 2004 1.314 1222.98 January 08 2004 – January 31 2005 0.123 -90.64
Table 6.8(a): Change Points Relative Spread JP/US, (UK Time Zone)
In this table change point indicates the date of a volatility shift, Interval is the date points between which the variance of exchange rate changes was stationary. Standard deviation is the standard deviation of exchange rate changes for the appropriate interval. The % change is the percentage increase or decrease in the standard deviation relative to the previous interval. The critical value of at a 95% level is 1.358.
Change Point Interval σx10,000 % Change
August 04 1995 January 02 1995 - August 04 1995 0.359
April 14 1998 August 05 1995 – April 14 1998 0.244 -31.84 December 23 1998 April 15 1998 – December 23 1998 0.172 -29.51 January 22 1999 December 24 1998 – January 22 1999 0.611 254.94 March 03 2000 January 23 1999 – March 03 2000 0.222 -63.62
181
December 06 2000 May 09 2000 – December 06 2000 0.252 -39.86 February 27 2001 December 07 2000 – February 27 2001 0.458 81.95 December 25 2002 February 28 2001 – December 25 2002 0.214 -53.28 January 09 2003 December 26 2002 – January 09 2003 0.744 247.60 December 11 2003 January 10 2003 – December 11 2003 0.204 -72.60 January 06 2004 December 12 2003 – January 06 2004 0.693 239.84 July 06 2004 January 07 2004 – July 06 2004 0.135 -80.59 December 24 2004 July 07 2004 - December 24 2004 0.071 -47.08 December 25 2004 – January 31 2005 0.126 77.35
Table 6.8(b): Change Points Relative Spread GB/US, (UK Time Zone)
In this table change point indicates the date of a volatility shift, Interval is the date points between which the variance of exchange rate changes was stationary. Standard deviation is the standard deviation of exchange rate changes for the appropriate interval. The % change is the percentage increase or decrease in the standard deviation relative to the previous interval. The critical value of at a 95% level is 1.358.
Change Point Interval σx10,000 % Change
April 17 1995 January 02 1995 – April 17 1995 0.142
July 11 1995 April 18 1995 – July 11 1995 0.269 90.31 August 28 1995 July 12 1995 – August 28 1995 0.103 -61.91 September 22 1995 August 29 1995 – September 22 1995 0.184 79.14 December 25 1995 September 23 1995 – December 25 1995 0.085 -53.84 January 03 1996 December 26 1996 – January 03 1996 0.446 425.28 September 03 1996 January 04 1996 – September 03 1996 0.141 -68.24 December 24 1997 September 04 1996 – December 24 1997 0.114 -19.66 January 05 1998 December 25 1997 – January 05 1998 0.605 432.59 December 25 1998 January 06 1998 – December 25 1998 0.119 -80.39 June 04 2001 December 26 1998 – June 04 2001 0.272 129.08 December 24 2001 June 05 2001 - December 24 2001 0.170 -37.67 January 04 2001 December 25 2001 – January 04 2001 0.889 424.27 December 25 2002 January 05 2001 – December 25 2002 0.174 -80.46 December 30 2002 December 26 2002 – December 30 2002 1.700 879.23 April 25 2003 December 31 2002 – April 25 2003 0.149 -91.23 December 25 2003 April 26 2003 – December 25 2003 0.113 -24.01 December 30 2003 December 26 2003 – December 30 2003 1.205 962.89 July 17 2004 December 31 2003 – July 17 2004 0.069 -94.28 December 13 2004 July 18 2004 – December 13 2004 0.041 -40.37 December 14 2004 – January 31 2005 0.072 75.52
182
Table 6.8(c): Change Points Relative Spread EU/US, (UK Time Zone)
In this table change point indicates the date of a volatility shift, Interval is the date points between which the variance of exchange rate changes was stationary. Standard deviation is the standard deviation of exchange rate changes for the appropriate interval. The % change is the percentage increase or decrease in the standard deviation relative to the previous interval. The critical value of at a 95% level is 1.358.
Change Point Interval σx10,000 % Change
April 04 2002 January 01 2001 – April 04 2002 0.246
December 24 2002 April 05 2002 – December 24 2002 0.175 -29.12 December 30 2002 December 25 2002 – December 30 2002 0.996 469.94 February 19 2003 December 31 2002 – February 19 2003 0.217 -78.17 April 18 2003 February 20 2003 – April 18 2003 0.118 -45.56 April 23 2003 April 19 2003 – April 23 2003 0.836 606.30 December 25 2003 April 24 2003 – December 25 2003 0.118 -85.84 January 06 2004 December 26 2003 – January 06 2004 0.843 612.86 January 07 2004 – 31 January 2005 0.099 -88.22
Table 6.9(a): Change Points Relative Spread JP/US, (ASIA Time Zone)
In this table change point indicates the date of a volatility shift, Interval is the date points between which the variance of exchange rate changes was stationary. Standard deviation is the standard deviation of exchange rate changes for the appropriate interval. The % change is the percentage increase or decrease in the standard deviation relative to the previous interval. The critical value of at a 95% level is 1.358.
Change Point Interval σx10,000 % Change
April 18 1995 January 02 1995 – April 18 1995 0.836
October 28 1997 April 19 1995 – October 28 1997 0.206 -75.32 July 13 1998 October 29 – July 13 1998 0.291 40.87 April 07 2000 July 14 1998 – April 07 2000 0.221 -23.95 January 30 2001 April 08 2000 – January 30 2001 0.146 -34.04 September 12 2001 January 31 2001 – September 12 2001 0.258 77.22 September 26 2001 September 13 2001 – September 26 2001 0.830 221.08 December 24 2001 September 27 2001 – December 24 2001 0.158 -80.90 January 03 2002 December 25 2001 – January 03 2002 0.602 280.02 March 29 2002 January 04 2002 – March 29 2002 0.182 -69.72
May 23 2002 March 30 2002 – May 23 2002 0.306 68.04
January 06 2004 May 24 2002 – January 06 2004 0.167 -45.35 January 07 2004 – 31 January 2005 0.064 -61.67
183