Volatility clustering is
A) The tendency for financial asset returns to have distributions that exhibit fat tails
B) The tendency for financial asset return volatility to appear in bunches
C) The tendency for volatility to rise more following a large price fall than following a price rise of the same magnitude
D) All of the above

Question

Quizplus · Accepted Answer

Volatility clustering refers to the phenomenon where large changes in asset prices are followed by large changes, and small changes are followed by small changes, indicating that volatility tends to cluster over time.

Volatility Clustering Is