http://www.mebanefaber.com/2008/07/28/volatility-clustering/ Engineering Targeted Returns and Risk Fri, 12 Mar 2010 02:30:17 -0600 http://wordpress.org/?v=2.8.2 hourly 1 http://www.mebanefaber.com/2008/07/28/volatility-clustering/comment-page-1/#comment-2015 ngogerty Tue, 29 Jul 2008 14:31:00 +0000 http://www.mebanefaber.com/2008/07/28/volatility-clustering/#comment-2015 Garch type models are interesting. Another interesting attribute of Vol is that it persists over weekends, indicating the market moving "information" reflected in Vol is constant over weekends. The clustering effect is pretty interesting especially when seen in the absence of an exogenous shock to the market. Vol does get a little over played as a predictor of direcational movement. The measurement does vary based on duration of the metric. Shorter interval equals higher vol. The interesting story is correlation spiking and clustering. That is where mean variance asset allocation gets knocked around. Damn those black swans :) Garch type models are interesting. Another interesting attribute of Vol is that it persists over weekends, indicating the market moving “information” reflected in Vol is constant over weekends. The clustering effect is pretty interesting especially when seen in the absence of an exogenous shock to the market. Vol does get a little over played as a predictor of direcational movement. The measurement does vary based on duration of the metric. Shorter interval equals higher vol. The interesting story is correlation spiking and clustering. That is where mean variance asset allocation gets knocked around. Damn those black swans

]]> http://www.mebanefaber.com/2008/07/28/volatility-clustering/comment-page-1/#comment-2014 Anonymous Tue, 29 Jul 2008 01:50:00 +0000 http://www.mebanefaber.com/2008/07/28/volatility-clustering/#comment-2014 The volatility vs. 200dma correlation ;aka clustering is the big message. I bought some SRS because of it some time ago to experiment. (2x REIT index ETF). It's been a good decision. The volatility vs. 200dma correlation ;aka clustering is the big message. I bought some SRS because of it some time ago to experiment. (2x REIT index ETF). It’s been a good decision.

]]> http://www.mebanefaber.com/2008/07/28/volatility-clustering/comment-page-1/#comment-2013 Kirzner Fervor Mon, 28 Jul 2008 19:11:00 +0000 http://www.mebanefaber.com/2008/07/28/volatility-clustering/#comment-2013 I liked that post...it's usually the time from when I read one of your posts to when I start playing around with it where I miss putting a comment. I liked that post…it’s usually the time from when I read one of your posts to when I start playing around with it where I miss putting a comment.

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