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


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: testing relative changes in volatilities across two time series across
Date   Tue, 9 Nov 2004 20:05:11 -0000

doesn't the Levene test assume independence?

Nick 
n.j.cox@durham.ac.uk 

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu]On Behalf Of Dan 
> Rodriguez
> Sent: 09 November 2004 20:01
> To: statalist@hsphsun2.harvard.edu
> Subject: st: testing relative changes in volatilities across two time
> series across
> 
> 
> 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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