factor are typically small, with the annualized unconditional volatility estimated at 0.06%, but highly persistent, with … estimated persistence at 0.98. Evidence of time variation in the volatility of the global factor is overwhelming as there are … times in which volatility could be several times larger than its unconditional level (about ten times in the aftermath of …

. Experience from past financial crises shows, major indicators in financial markets have clustered volatility during periods of … Estimated Loss is introduced as an indicator of banking crisis to analyze volatility clustering in a system-wide perspective …. The results show that crises indicator volatility tends to cluster together when distress signals begin to appear in the …