results of the paper further indicate that the introduction of day trading has no significant effect on the volatility … clustering, volatility persistence, arrival of information and the liquidity of the market. …

Recent empirical research has documented asymmetric volatility and volatility clustering in stock markets. We … neighbors but switch their strategies to a different one intermittently. We show that herding matters for volatility clustering …

pairs. A hybrid model based on microstructure approach was proposed. GARCH approach is used to reflect the volatility … clustering, and alpha-stable distributions describe the heavy tails behavior. The new model outperforms the previously existing …

emergence of fat tails and volatility clustering in return distributions. Our data suggest that the arrival of new information …

interest rates. High persistence's and different volatilities of two regimes can well explain volatility clustering observed in …

Long memory and volatility clustering are two stylized facts frequently related to financial markets. Traditionally … volatility clustering for the SP 500, NASDAQ 100 and Stoxx 50 indexes in order to compare the US and European Markets …

property, the GARCH(1,1) model, reflecting the volatility clustering property, and the FIGARCH model, reflecting the long … time, those of the time series with the volatility clustering effect removed diminish significantly. Our results imply that … the long-term memory property of the volatility time series can be attributed to the volatility clustering observed in the …

market upon its stylized facts, showing how both the quality and quantity of information might have an impact on volatility … clustering and the emergence of fat tail returns. …