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On Detecting Sudden Changes in the Unconditional Volatility of a Time Series

DOI: 10.4236/tel.2016.62028, PP. 256-261

Keywords: AIT-ICSS Algorithm, Long Memory, Sudden Change, Volatility

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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.

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