Volatility breaks are tested and documented for 19 important monthly macroeconomic time series across the G7 countries. Across all conditional mean specifications considered, including both linear and nonlinear models with and without a structural break, volatility breaks are found to be...

We test for a change in the volatility of 214 US macroeconomic time series over the period 1959-1999. We find that about 80% of these series have experienced a break in unconditional volatility during this period. Even though more than half of the series experienced a break in conditional mean,...