[R-SIG-Finance] Volatility clusters

kafkaz2 kafka at centras.lt
Wed Jul 21 10:29:06 CEST 2010

Dear Patrick,
thank you for the replay.
Actually the graph above was generated by using garch estimation. I have a
broad understanding how garch estimation is done, but I can't understand how
can it identify volatility clusters. The output of this methodology is
predicted variance, but it doesn't say to which volatility regime it
View this message in context: http://r.789695.n4.nabble.com/Volatility-clusters-tp2293786p2296762.html
Sent from the Rmetrics mailing list archive at Nabble.com.

More information about the R-SIG-Finance mailing list