Before revision:  We compare our result with the empirical time series of the Dow Jones Industrial Average and the Financial Times Stock Exchange 100 in the period 1984-2013 , finding an excellent agreement. The main features of the model consist in the jumps in the volatilities and a nonlinear mean reversion. Based on these features , we propose an algorithm for the detection of jumps in the volatility .
After revision:  We compare our result with the empirical time series of the Dow Jones Industrial Average and the Financial Times Stock Exchange 100 in the period 1984-2013 . Based on empirical results , we propose an algorithm for the detection of jumps in the volatility .