Skip to content
Prev 6423 / 15274 Next
Original Raw

Volatility clusters

kafkaz2 
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:

Thread (8 messages)

kafkaz Volatility clusters Jul 19 Patrick Burns Volatility clusters Jul 19 kafkaz2 Volatility clusters Jul 20 Patrick Burns Volatility clusters Jul 21 kafkaz2 Volatility clusters Jul 21 Patrick Burns Volatility clusters Jul 21 kafkaz2 Volatility clusters Jul 21 Whit Armstrong Volatility clusters Jul 21