Volatility on Oslo Stock Exchange : structural breakpoints in volatility using the ICSS algorithm
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- Master Thesis 
This thesis uses the Iterative Cumulative Sum of Squares (ICSS) algorithm (Inclán and Tiao, 1994) to search for structural breakpoints in volatility in the Norwegian stock market. I analyze data both with the original method, and with a revised version by Bacmann and Dubois (2001). I also analyze the stock markets in the other Scandinavian countries, a European index, the US stock market, the oil market and exchange rates. I then state tentative explanations for the breakpoints. I present a problem with the algorithm; the number of, and dating of breakpoints in a period is dependent on the choice of time period. I also show that the algorithm has problems discovering breaks occurring in the beginning or end of the time series. Through simulations, I show that the algorithm almost always fails to discover the correct number of breakpoints when there are several breaks quite close in time.