Was ist Volatilitäts-Cluster?
Volatilitäts-Cluster The empirical tendency for large changes in financial markets to be followed by further large changes, and small changes by small changes, indicating persistence in volatility.
Source: CFA Institute, IFRS Foundation, FASB (GAAP), Basel III Framework
How is “Volatilitäts-Cluster” Used in Practice?
Volatilitäts-Cluster ist eine grundlegende Beobachtung in der Finanzökonometrie und unterstützt den Einsatz von GARCH-Modellen zur Risikobewertung.
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Who Needs to Know This Term?
- Financial Analysts
- Bankers
- Traders
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Was ist Volatilitäts-Cluster?
The empirical tendency for large changes in financial markets to be followed by further large changes, and small changes by small changes, indicating persistence in volatility.
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