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- Volatility_clustering abstract "In finance, volatility clustering refers to the observation, as noted by Mandelbrot (1963), that "large changes tend to be followed by large changes, of either sign, and small changes tend to be followed by small changes." A quantitative manifestation of this fact is that, while returns themselves are uncorrelated, absolute returns or their squares display a positive, significant and slowly decaying autocorrelation function: corr(|rt|, |rt+τ |) > 0 for τ ranging from a few minutes to several weeks. Observations of this type in financial time series have led to the use of GARCH models in financial forecasting and derivatives pricing. The ARCH (Engle, 1982) and GARCH (Bollerslev, 1986) models aim to more accurately describe the phenomenon of volatility clustering and related effects such as kurtosis. The main idea behind these two widely used models is that volatility is dependent upon past realizations of the asset process and related volatility process. This is a more precise formulation of the intuition that asset volatility tends to revert to some mean rather than remaining constant or moving in monotonic fashion over time.".
- Volatility_clustering wikiPageID "1585574".
- Volatility_clustering wikiPageRevisionID "597513369".
- Volatility_clustering auto "yes".
- Volatility_clustering date "December 2009".
- Volatility_clustering hasPhotoCollection Volatility_clustering.
- Volatility_clustering subject Category:Derivatives_(finance).
- Volatility_clustering subject Category:Technical_analysis.
- Volatility_clustering comment "In finance, volatility clustering refers to the observation, as noted by Mandelbrot (1963), that "large changes tend to be followed by large changes, of either sign, and small changes tend to be followed by small changes." A quantitative manifestation of this fact is that, while returns themselves are uncorrelated, absolute returns or their squares display a positive, significant and slowly decaying autocorrelation function: corr(|rt|, |rt+τ |) > 0 for τ ranging from a few minutes to several weeks. ".
- Volatility_clustering label "Volatility clustering".
- Volatility_clustering sameAs m.05dgl7.
- Volatility_clustering sameAs Q7939999.
- Volatility_clustering sameAs Q7939999.
- Volatility_clustering wasDerivedFrom Volatility_clustering?oldid=597513369.
- Volatility_clustering isPrimaryTopicOf Volatility_clustering.