[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
belongs.
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