Detecting structural changes in volatility is important for understanding volatility dynamics and stylized facts observed for financial returns such as volatility persistence. We propose modified CUSUM and LM tests that are built on a robust estimator of the long run variance of squared series....

In this paper we consider the deterministic trend model where the error process is allowed to be weakly or strongly correlated and subject to nonstationary volatility. Extant estimators of the trend coefficient are analyzed. We find that under heteroskedasticity the Cochrane-Orcutt-type...