  A one dimensional diffusion process $X=\{X_t, 0\leq t \leq T\}$, with drift
$b(x)$ and diffusion coefficient $\sigma(\theta, x)=\sqrt{\theta} \sigma(x)$
known up to $\theta>0$, is supposed to switch volatility regime at some point
$t^*\in (0,T)$. On the basis of discrete time observations from $X$, the
problem is the one of estimating the instant of change in the volatility
structure $t^*$ as well as the two values of $\theta$, say $\theta_1$ and
$\theta_2$, before and after the change point. It is assumed that the sampling
occurs at regularly spaced times intervals of length $\Delta_n$ with
$n\Delta_n=T$. To work out our statistical problem we use a least squares
approach. Consistency, rates of convergence and distributional results of the
estimators are presented under an high frequency scheme. We also study the case
of a diffusion process with unknown drift and unknown volatility but constant.
