Detection of Breakpoints in Volatility
In this article, we test for the presence of structural breaks in volatility by two alternative approaches: the Iterative Cumulative Sum of Squares (ICSS) algorithm and wavelet analysis. Specifically, we look at the effect of the outbreak of the Asian crisis and the terrorist attacks of September 11...
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Universidad de Chile
2004-03-01
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| Series: | Estudios de Administración |
| Online Access: | https://estudiosdeadministracion.uchile.cl/index.php/EDA/article/view/56796 |
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doaj-d84d8f577b9e4e1291d8a43a80d0f8f12020-11-25T02:53:00ZengUniversidad de ChileEstudios de Administración0717-06530719-08162004-03-0111113810.5354/0719-0816.2004.5679656796Detection of Breakpoints in VolatilityViviana Fernández0Universidad de ChileIn this article, we test for the presence of structural breaks in volatility by two alternative approaches: the Iterative Cumulative Sum of Squares (ICSS) algorithm and wavelet analysis. Specifically, we look at the effect of the outbreak of the Asian crisis and the terrorist attacks of September 11, 2001 on Emerging Asia. Europe. Latin America and North America's stock markets. In addition, we focus on the behavior of interest rates in Chile after the Central Bank switched its monetary policy interest rate from an inflation-indexed to a nominal target in August 2001. Our estimation results show that the number of shifts detected by the two methods is substantially reduced when filtering out the data for both conditional heteroskedasticity and serial correlation.https://estudiosdeadministracion.uchile.cl/index.php/EDA/article/view/56796 |
| collection |
DOAJ |
| language |
English |
| format |
Article |
| sources |
DOAJ |
| author |
Viviana Fernández |
| spellingShingle |
Viviana Fernández Detection of Breakpoints in Volatility Estudios de Administración |
| author_facet |
Viviana Fernández |
| author_sort |
Viviana Fernández |
| title |
Detection of Breakpoints in Volatility |
| title_short |
Detection of Breakpoints in Volatility |
| title_full |
Detection of Breakpoints in Volatility |
| title_fullStr |
Detection of Breakpoints in Volatility |
| title_full_unstemmed |
Detection of Breakpoints in Volatility |
| title_sort |
detection of breakpoints in volatility |
| publisher |
Universidad de Chile |
| series |
Estudios de Administración |
| issn |
0717-0653 0719-0816 |
| publishDate |
2004-03-01 |
| description |
In this article, we test for the presence of structural breaks in volatility by two alternative approaches: the Iterative Cumulative Sum of Squares (ICSS) algorithm and wavelet analysis. Specifically, we look at the effect of the outbreak of the Asian crisis and the terrorist attacks of September 11, 2001 on Emerging Asia. Europe. Latin America and North America's stock markets. In addition, we focus on the behavior of interest rates in Chile after the Central Bank switched its monetary policy interest rate from an inflation-indexed to a nominal target in August 2001. Our estimation results show that the number of shifts detected by the two methods is substantially reduced when filtering out the data for both conditional heteroskedasticity and serial correlation. |
| url |
https://estudiosdeadministracion.uchile.cl/index.php/EDA/article/view/56796 |
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AT vivianafernandez detectionofbreakpointsinvolatility |
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