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On Detecting Sudden Changes in the Unconditional Volatility of a Time Series
Indian Institute of Management, Kashipur, India
- 1 Indian Institute of Management, Kashipur, India
Theoretical Economics Letters·Volume 06 (2016)·Pages 256–261·Published 31 March 2016·DOI10.4236/tel.2016.62028
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Abstract
The present study highlights the drawback of using Sanso, Arago and Carrion’s (2004) AIT-ICSS algorithm in detecting sudden changes in the unconditional volatility when long memory is present in volatility. Simulation experiments show that the AIT-ICSS test is severely oversized and exhibits low power when long memory is present in volatility.
KeywordsAIT-ICSS AlgorithmLong MemorySudden ChangeVolatility
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