Volatility clusters
Have a look at the finance task view where you will find packages that do GARCH estimation and stochastic volatility.
On 21/07/2010 07:42, kafkaz2 wrote:
The fact is that volatility moves in clusters - high movements are followed by high movements and low by low. My goal is to identify existing volatility regime based on historical data. My question is what statistical methods can I use to map historical volatility data into clusters. I would expect something like this:
Patrick Burns patrick at burns-stat.com http://www.burns-stat.com