Volatility Flocking in the Dow Jones Industrial Average (DJIA) Index

In this study, we analyze the flocking pattern of stock volatilities according to the Cucker–Smale mechanism. We investigate the movement of a flock based on volatilities' time-varying coupling strength, and stochastic noise in coupling. The Volatility Flocking Index (VFI) summarizes the information about the time–varying communication structure that some volatilities retain short pairwise distances while others outlying from the flock. A volatility outlies when it is from the root sector of a recessionary shock. Our numerical results show that the Cucker–Smale mechanism with a regime-switching idea is capable of replicating the fast convergence of multivolatilities into the macro average in a recovery period in which most volatilities join a cohesive circle