[R-SIG-Finance] Volatility clusters

Patrick Burns patrick at burns-stat.com
Wed Jul 21 11:58:06 CEST 2010

Regimes are artificial additions -- they have
no objective reality.  That doesn't mean they
can't sometimes be useful.

This gets us back to the question I asked yesterday:
what are you trying to do, and why do you think
that imposing regimes would help you?

On 21/07/2010 09:29, kafkaz2 wrote:
> 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.

Patrick Burns
patrick at burns-stat.com

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