https://oxfordstrat.com/data/volatility-clustering-1/
Volatility Clustering: Are large price moves followed by large price moves?
Jun 27, 2020 - Concept: Large price moves tend to be followed by large price moves, and small price moves tend to be followed by small price moves (volatility clustering).
volatility clusteringlarge
https://oxfordstrat.com/data/volatility-clustering-2/
Volatility Clustering: Alternative Methods of Filtering.
Jun 27, 2020 - Research Question: Can we improve performance of the original volatility clustering model via standard deviation filtering of large price moves?
volatility clusteringmethods