A byl li sdvig: empiricheskij analiz testov na strukturnye sdvigi v volatil’nosti dohodnostej

[en] In this article, two popular tests for structural breaks are considered for return volatilities: the ICSS algorithm employing the AIT test, and the least-squares (LS) estimator. We show that the AIT test is sensitive to many features of the time series, and the use of asymptotic critical values is not always justified. The LS method was found to detect breaks more accurately, especially if there are many, in comparative simulations. Real data analysis revealed that LS estimation yields results in better accordance with general economic intuition, although its results are somewhat sensitive to the sample length. In general, we recommend the LS estimator for practical purposes.

Disciplines :

Quantitative methods in economics & management

Author, co-author :

KOSTYRKA, Andreï ; University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Department of Economics and Management (DEM)

Malakhov, Dmitry; National research university ‘Higher school of Economics’

External co-authors :

yes

Language :

Russian

Title :

A byl li sdvig: empiricheskij analiz testov na strukturnye sdvigi v volatil’nosti dohodnostej

Alternative titles :

[en] Was there ever a shift: Empirical analysis of structural-shift tests for return volatility

Publication date :

2021

Journal title :

Applied Econometrics

Publisher :

Russian Presidential Academy of National Economy and Public Administration (RANEPA), Russia

Volume :

Pages :

110-139

Peer reviewed :

Peer reviewed

Focus Area :

Finance

Additional URL :

http://pe.cemi.rssi.ru/pe_2021_61_110.pdf

Available on ORBilu :

since 06 September 2023

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