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This article analyses sudden changes of volatility in the stock markets of the BRIC countries (Brazil, Russia, India and China) using the iterated cumulative sums of squares algorithm for the period 1990 to 2007 and examines their impacts on the persistence of volatility. The results show that when endogenously determined sudden shifts in variance are taken into account in the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model, the estimated persistence in return volatility is reduced significantly in every return series. These results suggest that the findings of previous studies could have overestimated the degree of the persistence of volatility existing in the financial time series. These results have important policy implications for the financial market participants and policy makers. [ABSTRACT FROM AUTHOR]