%0 Journal Article %T On Detecting Sudden Changes in the Unconditional Volatility of a Time Series %A Dilip Kumar %J Theoretical Economics Letters %P 256-261 %@ 2162-2086 %D 2016 %I Scientific Research Publishing %R 10.4236/tel.2016.62028 %X 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. %K AIT-ICSS Algorithm %K Long Memory %K Sudden Change %K Volatility %U http://www.scirp.org/journal/PaperInformation.aspx?PaperID=65881