A simple guide to harvesting returns from market uncertainty
Question. You said that vol has autocorrelation and volatility clustering. Aren't those two points essentially the same thing?
They are closely related but not exactly the same thing.
Vol clustering is the pattern and autocorrelation is the mechanism behind the pattern.
Simply said, clustering is what you see and autocorrelation is what you measure.
Question. You said that vol has autocorrelation and volatility clustering. Aren't those two points essentially the same thing?
They are closely related but not exactly the same thing.
Vol clustering is the pattern and autocorrelation is the mechanism behind the pattern.
Simply said, clustering is what you see and autocorrelation is what you measure.