Structural breaks and GARCH models of stock return volatility: The case of South Africa

► We analyze the relevance of structural breaks for daily stock return volatility ► In and out-of-sample tests conducted on JSE ALSI for the period 07/02/1995-08/25/2010 ► Evidence of structural breaks in the unconditional variance ► No forecasting gains in using models that accounts for structural breaks ► GARCH(1,1) model with expanding window performs the best.