Before revision:  We have developed a statistical technique to test the model assumption of binary regime switching extension of the geometric L\'{e a new discriminating statistics.
After revision:  We have developed a novel statistical technique for jump detection and volatility estimation in a return time series data using a threshold method. Since we derive the threshold and the volatility estimator simultaneously by solving an implicit equation, we obtain unprecedented accuracy across a wide range of parameter values. Using this method, the increments attributed to jumps have been removed from a large collection of historical data of Indian sectoral indices. Subsequently, we test the presence of regime switching dynamics in the volatility coefficient using a new discriminating statistics.