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finanzmaster


Total Posts: 159
Joined: Feb 2011
 
Posted: 2018-01-13 18:39
My research from 2012, which shows that volatility regime switching 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/


www.yetanotherquant.com - Knowledge rather than Hope: A Book for Retail Investors and Mathematical Finance Students

finanzmaster


Total Posts: 159
Joined: Feb 2011
 
Posted: 2018-01-28 11:47
2nd Part: 2940 Stocks

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

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

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

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

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


www.yetanotherquant.com - Knowledge rather than Hope: A Book for Retail Investors and Mathematical Finance Students

finanzmaster


Total Posts: 159
Joined: Feb 2011
 
Posted: 2018-01-28 11:47
BTW, I have collected a pretty large database of intraday minute prices from AlphaVantage. Gotta repeat suchlike volatility clustering/predictability study with more recent/more frequent data. Anybody interested?

www.yetanotherquant.com - Knowledge rather than Hope: A Book for Retail Investors and Mathematical Finance Students

bullero


Total Posts: 18
Joined: Feb 2018
 
Posted: 2018-02-13 13:49
Yes. It would be interesting to see, for example, if one could "quantify" these different regimes into data and if that data holds any predictive power.
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