[R-SIG-Finance] Volatility clusters

kafkaz2 kafka at centras.lt
Wed Jul 21 08:42:07 CEST 2010


The fact is that volatility moves in clusters - high movements are followed
by high movements and low by low. My goal is to identify existing volatility
regime based on historical data. My question is what statistical methods can
I use to map historical volatility data into clusters.

I would expect something like this:

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