An Analysis of Volatility Clustering of Equity Factor Strategies

Volatility clustering is a well-known effect in equity markets. In simple meaning, volatility clustering refers to a tendency of large changes in asset prices to follow large changes and small changes in asset prices to follow small changes. We tested two hypotheses: (1) firstly, if there is a volatility clustering present in equity factor strategies, (2) secondly, whether past factor volatility predicts future factor performance. We were able to confirm the first hypothesis. However, a factor allocation trading strategy based on volatility predictability doesn’t perform well

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Year of publication:	2021
Authors:	Vojtko, Radovan ; Cisár, Dominik
Publisher:	[S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Clusteranalyse \| Cluster analysis \| ARCH-Modell \| ARCH model \| Börsenkurs \| Share price \| Faktorenanalyse \| Factor analysis

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