Measuring Volatility Clustering in Stock Markets

Thumbnail Image

Date

Authors

Journal Title

Journal ISSN

Volume Title

Publisher

Abstract

Description

We propose a novel method to quantify the clustering behavior in a complex time series and apply it to a high-frequency data of the financial markets. We find that regardless of used data sets, all data exhibits the volatility clustering properties, whereas those which filtered the volatility clustering effect by using the GARCH model reduce volatility clustering significantly. The result confirms that our method can measure the volatility clustering effect in financial market.

Keywords

Statistical Finance, Data Analysis, Statistics and Probability

Citation

URI

http://salesiana.dossiersoluciones.com/handle/123456789/208373

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/0709.2416
 http://arxiv.org/abs/0709.2416

Collections

arXiv