We thank the Simon Center for Regional Forecasting at the John Cook School of Business at Saint Louis University – especially Jack Strauss, Director of the Simon Center and Ellen Harshman, Dean of the Cook School – for its generosity and hospitality in hosting a conference during the summer...

We examine the role of structural breaks in forecasting stock return volatility. We begin by testing for structural breaks in the unconditional variance of daily returns for the S&P 500 market index and ten sectoral stock indices for 9/12/1989–1/19/2006 using an iterative cumulative sum of...