Table 4 Structural breakpoint test results.
From: Price discovery and volatility spillovers in the interest rate derivatives market
Break test | F-statistic | scaled F-statistic | critical value** | |
|---|---|---|---|---|
RF | 0 vs. 1 | 2.5393 | 2.5393 | 8.5800 |
RIS | 0 vs. 1 | 7.3996 | 7.3996 | 8.5800 |
RS | 0 vs. 1* | 18.2383 | 18.2383 | 8.5800 |
1 vs. 2* | 21.6746 | 21.6746 | 10.1300 | |
2 vs. 3* | 20.8635 | 20.8635 | 11.1400 | |
3 vs. 4 | 5.7236 | 5.7236 | 11.8300 |
