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Volatility Clustering and Piecewise Homoscedasticity – Part I – Indices

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 Vasily Nekrasov, Quantitative Developer at IDS GmbH – Analysis and Reporting Services

 Saturday, January 13, 2018

My research from 2012, which shows that #volatility #regimeswitching on major stock indices took place sufficiently long before the financial crisis broke out. Both technical report and ostensive charts. https://letyourmoneygrow.com/2018/01/13/volatility-clustering-piecewise-homoscedasticity-part-i-indices/


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3 comments on article "Volatility Clustering and Piecewise Homoscedasticity – Part I – Indices"

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 John Devron, Computer Software Professional

 Tuesday, January 16, 2018



"...is possible to predict the volatility till the next regime switching. In half of cases the answer was positive." ... So apparently flipping a coin can produce comparable results? Skipping forward, it seems to me that the best can be proved is prices tend to fall faster than they rise. Faster movement == more volatility. Seems apparent without a lot of rigorous math.


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 Vasily Nekrasov, Quantitative Developer at IDS GmbH – Analysis and Reporting Services

 Wednesday, January 17, 2018



John Devron, well, flipping a coin is not always a good argument when one talks about 50% cases. Because under "predict" I meant a concrete number (or, well, a narrow range: vola will remain the same +/- 10%). And not a binary variable like a direction (vola will increase / decrease).

As to the rigorous math, I needed it not for proving an obvious thing but for automatic processing (segmentation) of 3000 time series.

BTW, I keep publishing the visualized results:

https://letyourmoneygrow.com/2018/01/15/volatility-clustering-and-piecewise-homoscedasticity-part-ii-2940-stocks/

https://letyourmoneygrow.com/2018/01/16/volatility-clustering-piecewise-homoscedasticity-part-ii-2940-stocks-c/


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 Vasily Nekrasov, Quantitative Developer at IDS GmbH – Analysis and Reporting Services

 Saturday, January 20, 2018



and further parts:

I)https://letyourmoneygrow.com/2018/01/17/volatility-clustering-piecewise-homoscedasticity-part-ii-2940-stocks-d-f/

II) https://letyourmoneygrow.com/2018/01/18/volatility-clustering-piecewise-homoscedasticity-part-ii-2940-stocks-g-l/

III) https://letyourmoneygrow.com/2018/01/19/volatility-clustering-piecewise-homoscedasticity-part-ii-2940-stocks-m-z/

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