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Table 2 Multi-breakpoint detections

From: Heterogeneous autoregressive model with structural break using nearest neighbor truncation volatility estimators for DAX

Breakpoint

LogRV

LogminRV and logmedRV

F-statistic

Date

F-statistic

Date

k 1

21.64299

13/June/2012

22.32691

3/Aug/2012

  1. Critical values (Bai and Perron 2003) for k 1 is 18.23 for RV and 16.19 for minRV and medRV at 0.05 level
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