volatility clustering
Word Rarity
Rare
Frequency: Zipf frequency 2.90 in modern English
29
Scrabble Score
20
Letters
6
Syllables
14
Unique Chars
Meaning
noun
A phenomenon of great swings in an index being adjacent to others instead of their having random distribution.
Countable; Uncountable
Example Sentences
- "Figure 3 shows the volatility clustering for oil, gold, and the five developing bond market return series in the period between 2008 and 2022. Regarding the magnitude of volatility clustering, China, India, Russia, and especially oil, appear more volatile than other markets and volatility clusters occurred around 2008-2010 because of worldwide economic instability. The reason for the volatility clusterings in 2008-2009 in Figure 3, was the crisis precipitated by the collapse of subprime mortgages in the U.S. in 2008."
- "Both ARCH and GARCH models have proven successful in modelling real data in a variety of applications and can explain volatility clustering phenomena. […] The most commonly used models, namely the autoregressive conditional heteroscedasticity (ARCH) model and its generalisation and the generalised autoregressive conditional heteroscedasticity (GARCH) model, can only capture time-varying volatility, volatility clustering, excess kurtosis, heavy-tailed distributions, and long-memory properties (GARCH)."