This paper verifies the endogenous mechanism and economic intuition on volatility clustering using the coexistence of … processes can endogenously generate volatility clustering and long range dependence in volatility observed in financial markets …. Economically, volatility clustering occurs when neither the fundamental nor trend following traders dominate the market and when …

The inhomogeneity of the cross-sectional distribution of realized assets’ volatility is explored and used to build a …-sectional distribution of realized volatility is captured by a finite Gaussian mixture model plus a uniform component that represents … abnormal variations in volatility. Based on the cross-sectional mixture model, at each time point, memberships of assets to …

Volatility clustering is a well-known effect in equity markets. In simple meaning, volatility clustering refers to a … 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 …