Message-ID: <4C46A545.9090709@burns-stat.com>
Date: 2010-07-21T07:44:05Z
From: Patrick Burns
Subject: Volatility clusters
In-Reply-To: <1279694527210-2296658.post@n4.nabble.com>
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