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?

  • $\begingroup$ I updated my answer and included the links to the R-package as requested. $\endgroup$ – vonjd Feb 3 '13 at 14:25

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

  • $\begingroup$ is there not a method that I can use with R ? $\endgroup$ – Dail Nov 28 '11 at 19:59
  • 1
    $\begingroup$ The changepoint package should be able to do it, but I haven't tested it sofar: cran.r-project.org/web/packages/changepoint $\endgroup$ – vonjd Dec 2 '11 at 9:03
  • 1
    $\begingroup$ @Dail: There is another one - I did a few tests and it seems to do its job: cran.r-project.org/web/packages/cpm/index.html $\endgroup$ – vonjd Jan 28 '13 at 16:13
  • 1
    $\begingroup$ that's what i was looking for! thank you! if you add an answer I will accept it. $\endgroup$ – Dail Jan 30 '13 at 10:20

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.


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.