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st: testing relative changes in volatilities across two time series across two time periods


From   Dan Rodriguez <Dan.Rodriguez@morganstanley.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: testing relative changes in volatilities across two time series across two time periods
Date   Tue, 09 Nov 2004 15:00:31 -0500

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 -
2004)
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,
2000-2001)/vol(east,2001-2004)

Thank you,
Dan


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