Abrupt changes in the unconditional variance of returns have been recently revealed in many empirical studies. In this … unconditional variance. More precisely, we show that even under very strong abrupt changes in the unconditional variance, the …-based tests confirm the presence of strong abrupt changes in the unconditional variance of stock returns, whereas KPSS-based tests …

Abrupt changes in the unconditional variance of returns have been recently revealed in many empirical studies. In this … unconditional variance. More precisely, we show that even under very strong abrupt changes in the unconditional variance, the …-based tests confirm the presence of strong abrupt changes in the unconditional variance of stock returns, whereas KPSS-based tests …

the unconditional variance. Second, the results show that the apparent long memory property in volatility may be … interpreted as changes in the unconditional variance of the long series. Finally, based on a formal statistical test we find …

theoretically explained if one assumes that the data is non-stationary (changing unconditional variance). …