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st: testing relative changes in volatilities across two time series across two time periods
I employed the Levene test to test the hypotheses for two time series
and found significant F-statistics in my two tests.
volatility(east returns, 2000 - 2001) > volatility(east rtns, 2001 -
vol(west rtns, 2000 - 2001) > volatility (west rtns, 2001-2004)
I would like to test the following:
vol(west, 2000-2001)/vol(west, 2001-2004) > vol(east,
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