# Check for structural breaks in GARCH

What is the standard test for checking against potential structural breaks in log return data and realized variance that is used for GARCH modeling?

There appears to be a range of different CUSUM and LM tests available but I cannot seem to figure out which ones are the most commonly used? Or is there perhaps some other test that should be used instead? Is there an R package for this test?

Would a test for structural breaks in this setting have to be done on both the mean and the realized variance or just either of them? Or possibly even on the residuals?

• I do not have an answer, but a nice break detection technique is impulse indicator saturation due to David Hendry & Co. You may check it out. – Richard Hardy Mar 17 '17 at 10:34