McMillan, David; Wohar, Mark - In: Applied Financial Economics 21 (2011) 15, pp. 1079-1093
implications of such breaks are numerous, in terms of volatility dynamics and forecasting and portfolio management. With respect to … volatility dynamics, further analysis reveals that accounting for breaks substantially reduces the degree of persistence over a …, the mean to which volatility reverts is time varying; as such, failure to account for breaks will lead to severe forecast …