I'm looking for a method to automatically detect structural breaks, I tried Chow test, It works good but it doens't work for breaks in variance. Do you know a test to check strucutural break in variance/volatility for financial timeseries?
Have a look here:
The method is based on a sequential F-test, see also this paper:
With R the following package can be used:
The Vignette has more information:
Even more information can be found on the homepage of the author (incl. new developments and research): Gordon J. Ross
The Bering Climate web site has the older version of the software that has some bugs when calculating regime shifts in variance. Those bugs appear to be fixed in the newer version available at www.climatelogic.com.