volatility cluster

English

Noun

volatility cluster (countable and uncountable, plural volatility clusters)

1. (finance, quantitative analysis) The occurrence of a great swing in an index being nonrandomly adjacent to others.

   Holonym: volatility clustering

   • 2018 August 11, Kirkpinar Ayşegül, Evrim Mandaci Pınar, “A volatility spillover analysis between bond and commodity markets as an indicator for global liquidity risk”, in Panoeconomicus‎, volume 70, number 1, published 18 February 2022, →DOI, page 82 of 71–100:

     Figure 3 shows the volatility clustering for oil, gold, and the five developing bond market return series in the period between 2008 and 2022. Regarding the magnitude of volatility clustering, China, India, Russia, and especially oil, appear more volatile than other markets and volatility clusters occurred around 2008-2010 because of worldwide economic instability. The reason for the volatility clusterings in 2008-2009 in Figure 3, was the crisis precipitated by the collapse of subprime mortgages in the U.S. in 2008.