[R-SIG-Finance] Volatility clusters

[Patrick Burns]

I don't understand the question.

What are you ultimately trying to do?

On 19/07/2010 11:39, kafkaz wrote:
>
> Dear all,
> what would you propose for volatility clusters identification?
> K-mean doesn't fit because it requires to fix length of clusters. SOM
> doesn't look good as well.
> I found one paper, where the author refers to F. Laurini works:
>
> F. Laurini, J.A. Tawn (2003), ‘New Estimators for the Extremal Index and
> Other Cluster
> Characteristics,’ Extremes, Vol 6, 3, 189-211.
>
> F. Laurini, 2004, ‘Clusters of Extreme Observations and Extremal Index
> Estimate in
> Garch Processes,” Studies in Nonlinear Dynamics&  Econometrics, Vol 8, Issue
> 2, 1-21.
>
> What would be your recommendation?

-- 
Patrick Burns
patrick at burns-stat.com
http://www.burns-stat.com