We extend the well established link between structural change and estimated persistence from GARCH to stochastic volatility (SV) models. Whenever structural changes in some model parameters increase the empirical autocorrelations of the squares of the underlying time series, the persistence in...

We extend the well established link between structural change and estimated persistence from GARCH to stochastic volatility (SV) models. Whenever structural changes in some model parameters increase the empirical autocorrelations of the squares of the underlying time series, the persistence in...

We extend the well established link between structural change and estimated persistence from GARCH to stochastic volatility (SV) models. Whenever structural changes in some model parameters increase the empirical auto correlations of the squares of the underlying time series, the persistence in...

We show that structural changes in stochastic volatility models induce spurious persistence. Other than in GARCH-type models, implied persistence does not tend to unity with given size of the structural change and increasing sample size.