Author(s)

Dilip Kumar

Indian Institute of Management, Kashipur, India.

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.

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

Kumar, D. (2016) On Detecting Sudden Changes in the Unconditional Volatility of a Time Series. Theoretical Economics Letters, 6, 256-261. doi: 10.4236/tel.2016.62028.