Volatility Clustering in High-Frequency Data: A self-fulfilling prophecy?

Clustering volatility is shown to appear in a simple market model with noise trading simply because agents use volatility forecasting models. At the core of the argument lies a feed-back mechanism linking past observed volatility to present observed volatility. Its stability properties are critical as to what kind of volatility will ultimately be observed.

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Year of publication:	2007
Authors:	Demetrescu, Matei
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 7.2007, 15, p. 1-8
Publisher:	AccessEcon

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	G1 - General Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005110862