[R-SIG-Finance] Volatility clusters

[Patrick Burns]

Have a look at the finance task view where
you will find packages that do GARCH estimation
and stochastic volatility.

On 21/07/2010 07:42, kafkaz2 wrote:
>
> 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:
>

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