[R-SIG-Finance] Volatility clusters

[Patrick Burns]

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
http://www.burns-stat.com