Abstract

http://ssrn.com/abstract=313639
 
 

Citations (36)



 
 

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Detecting Multiple Breaks in Financial Market Volatility Dynamics


Elena Andreou


University of Cyprus - Department of Economics

Eric Ghysels


University of North Carolina Kenan-Flagler Business School; University of North Carolina (UNC) at Chapel Hill - Department of Economics

May 2, 2002


Abstract:     
The paper evaluates the performance of several recently proposed tests for structural breaks in conditional variance dynamics of asset returns. The tests apply to the class of ARCH and SV type processes as well as data-driven volatility estimators using high-frequency data. In addition to testing for the presence of breaks, the statistics identify the number and location of multiple breaks. We study the size and power of the new tests for detecting breaks in the conditional variance under various realistic univariate heteroskedastic models, change-point hypotheses and sampling schemes. The paper concludes with an empirical analysis using data from the stock and FX markets for which we find multiple breaks associated with the Asian and Russian financial crises. These events resulted in changes in the dynamics of volatility of asset returns in the samples prior and post the breaks.

Number of Pages in PDF File: 35

Keywords: change-point, break dates, ARCH, high-frequency data

JEL Classification: G10, C15, C13

working papers series


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Date posted: June 12, 2002  

Suggested Citation

Andreou, Elena and Ghysels, Eric, Detecting Multiple Breaks in Financial Market Volatility Dynamics (May 2, 2002). Available at SSRN: http://ssrn.com/abstract=313639 or http://dx.doi.org/10.2139/ssrn.313639

Contact Information

Elena Andreou (Contact Author)
University of Cyprus - Department of Economics ( email )
75 Kallipoleos Street
P.O. Box 20537
1678 Nicosia
Cyprus
+357 2 892449 (Phone)
+357 2 892432 (Fax)
Eric Ghysels
University of North Carolina Kenan-Flagler Business School ( email )
Kenan-Flagler Business School
Chapel Hill, NC 27599-3490
United States

University of North Carolina (UNC) at Chapel Hill - Department of Economics ( email )
Gardner Hall, CB 3305
Chapel Hill, NC 27599
United States
919-966-5325 (Phone)
919-966-4986 (Fax)
HOME PAGE: http://www.unc.edu/~eghysels/
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Citations:  36
Footnotes:  14

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