[R-SIG-Finance] Volatility clusters
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:
View this message in context: http://r.789695.n4.nabble.com/Volatility-clusters-tp2293786p2296658.html
Sent from the Rmetrics mailing list archive at Nabble.com.
More information about the R-SIG-Finance