This study examines the impact of exogenous changes in volatilitypersistence using the GARCH model with and without shock dummies. Forthis purpose, we considered five weekly KOSPI 200 sector index series.Using the iterated cumulated sums of squares (ICSS) algorithm, wedetermined the timing of volatility changes corresponding to major economicand political events, including the 1997 Asian currency crisis, the Russiacrisis of 1998, the IT bubble of 2000, the 9/11 terror attack of 2001, the Iraqwar of 2003 and the global financial crisis that has been recently affectingnations worldwide. After incorporating these volatility change, volatilitypersistence in the GARCH model was significantly reduced. This resultimplies that ignoring exogenous changes overestimates volatility persistence.Thus, incorporating information on exogenous changes in conditionalvariance will improve the accuracy of volatility forecasting.