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Volatility clustering
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<h2 id="see-also">See also</h2> <ul><li><a href="/facts/GARCH/CyPM79ao">GARCH</a></li> <li><a href="/facts/Stochastic_volatility/d5zBCcUP">Stochastic volatility</a></li></ul> <h2 id="references">References</h2> <ol> <li id="fn:1"><p>Mandelbrot, B. B., The Variation of Certain Speculative Prices, The Journal of Business 36, No. 4, (1963), 394-419 <a href="https://www.jstor.org/stable/2351623" target="_blank">https://www.jstor.org/stable/2351623</a> <a href="#fnref:1" class="footnote-back-ref">↩</a></p></li> <li id="fn:2"><p>Granger, C.W. J., Ding, Z. Some Properties of Absolute Return: An Alternative Measure of Risk , Annales d'Économie et de Statistique, No. 40 (Oct. - Dec., 1995), pp. 67-91 <a href="https://www.jstor.org/stable/20076016" target="_blank">https://www.jstor.org/stable/20076016</a> <a href="#fnref:2" class="footnote-back-ref">↩</a></p></li> <li id="fn:3"><p>Ding, Z., Granger, C.W.J. Modeling volatility persistence of speculative returns: A new approach, Journal of Econometrics), 1996, vol. 73, issue 1, 185-215 <a href="https://doi.org/10.1016/0304-4076(95)01737-2" target="_blank">https://doi.org/10.1016/0304-4076(95)01737-2</a> <a href="#fnref:3" class="footnote-back-ref">↩</a></p></li> <li id="fn:4"><p>Cont, Rama (2007). "Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models". In Teyssière, Gilles; Kirman, Alan (eds.). Long Memory in Economics. Springer. pp. 289–309. doi:10.1007/978-3-540-34625-8_10. <a href="/wiki/Doi_(identifier)" target="_blank">/wiki/Doi_(identifier)</a> <a href="#fnref:4" class="footnote-back-ref">↩</a></p></li> <li id="fn:5"><p>Zhuanxin Ding, Clive W.J. Granger, Robert F. Engle (1993) A long memory property of stock market returns and a new model, Journal of Empirical Finance, Volume 1, Issue 1, 1993, Pages 83-106 <a href="https://doi.org/10.1016/0927-5398(93)90006-D" target="_blank">https://doi.org/10.1016/0927-5398(93)90006-D</a> <a href="#fnref:5" class="footnote-back-ref">↩</a></p></li> <li id="fn:6"><p>Ole E. Barndorff-Nielsen, Neil Shephard (October 2010). "Volatility". In Cont, Rama (ed.). Encyclopedia of Quantitative Finance. Wiley. doi:10.1002/9780470061602.eqf19019. ISBN 9780470057568. <a href="9780470057568" target="_blank">9780470057568</a> <a href="#fnref:6" class="footnote-back-ref">↩</a></p></li> </ol>