Malik, Farooq; Ewing, Bradley; Payne, James - In: Canadian Journal of Economics 38 (2005) 3, pp. 1037-1056
It is well known that volatility persistence is overestimated if regime shifts are not accounted for in the standard GARCH model. This research detects time periods of sudden changes in variance using the iterated cumulated sums of squares (ICSS) algorithm. Using weekly data for the Canadian...