ボラティリティ・クラスタリングとは？
ボラティリティ・クラスタリング 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 “ボラティリティ・クラスタリング” Used in Practice?
ボラティリティ・クラスタリングは金融計量経済学の基本的な観察であり、リスク評価にGARCHモデルの利用を支持する。
Certification Exam Relevance
Who Needs to Know This Term?
- Financial Analysts
- Bankers
- Traders
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ボラティリティ・クラスタリングとは？
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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