Comments on: More on Volatility Clustering

By: 3rd Blogiversary, and More Posts Updated – World Beta – Engineering Targeted Returns and Risk

Tue, 03 Nov 2009 19:37:48 +0000

[...] Volatility Clustering sure did rear it’s head the following Fall! [...]

By: Where the Black Swans Lie - World Beta - Engineering Targeted Returns and Risk

Where the Black Swans Lie - World Beta - Engineering Targeted Returns and Risk — Fri, 03 Apr 2009 20:08:32 +0000

[...] However, this line of reasoning is way too simplistic. The basic math shows that the vast majority of up AND down days occur when the market has already been declining. The simple reason? The market is more volatile. The last eight months have been a perfect example. I updated the post I wrote back in titled "Dow 300 Point Days and Volatility Clustering". An older post here – "More on Volatility Clustering". [...]

By: Robert

Robert — Fri, 04 Apr 2008 18:23:00 +0000

Thanks for compiling the stats on these asset classes.

Is that correct that the GSCI, unlike the others, has higher volatility when above its 10m SMA?