Abstract: Based on a stationary β-mixed process, this paper proposes a method for nonparametric estimation of structural change point in volatility models with unknown regression and conditional variance functions. Asymptotic normality of test statistic is proven, and a corresponding test method presented. Effectiveness of the method is shown with simulations.

Key words: β-mixed process, asymptotic normality, change point in volatility, locally linear estimation, nonparametric heteroscedastic model