It is not difficult to find situations of marked change in variables and with unpredictable event risk implies estimation problems. E.g., Credit spreads in 2008 rise to levels that could never have been forecast based upon previous history. The subprime crisis of 2007/8: credit spreads & volatility rise to unseen levels & shift in debtor behavior (delinquency patterns) E.g., estimating the volatility from data in a calm (turbulent) period implies under (over) estimation of future realized volatility