Что такое Кластеризация волатильности?
Кластеризация волатильности 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 “Кластеризация волатильности” Used in Practice?
Кластеризация волатильности — фундаментальное наблюдение в финансовой эконометрике, поддерживающее использование моделей GARCH для оценки рисков.
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Who Needs to Know This Term?
- Financial Analysts
- Bankers
- Traders
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Что такое Кластеризация волатильности?
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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