[R-SIG-Finance] Volatility clusters

[Whit Armstrong]

You should look at the Kim/Nelson book:
http://www.amazon.com/State-Space-Models-Regime-Switching-Gibbs-Sampling/dp/0262112388/ref=sr_1_1?ie=UTF8&s=books&qid=1279726296&sr=8-1

There are also a ton of papers on this topic.

-Whit


On Wed, Jul 21, 2010 at 10:36 AM, kafkaz2 <kafka at centras.lt> wrote:
>
> I'm trying to test a claim, that mean reverting strategies work best, then
> volatility is high. So far, I improved the results on the strategy by
> applying simple volatility filter.
> If 5 days volatility is below 2 years 0.35 quantile is stops trading.
> So, my question is - can the filter be more sophisticated?
>
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