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:
Rodionov, S.N., 2005b: Detecting regime shifts in the mean and variance: Methods and specific examples. In: Large-Scale Disturbances (Regime Shifts) and Recovery in Aquatic Ecosystems: Challenges for Management Toward Sustainability, V. Velikova and N. Chipev (Eds.), UNESCO-ROSTE/BAS Workshop on Regime Shifts, 14-16 June 2005, Varna, Bulgaria, 68-72.
With R the following package can be used:
Sequential Parametric and Nonparametric Change Detection
The Vignette has more information:
Parametric and Nonparametric Sequential Change Detection in R: The cpm package
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.