Why do volatility clusters appear? On the nonlinear nature of financial risks
- 2025-12-18
- Posted by: Wmax
- Category: Tutorial
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This article analyzes the phenomenon of volatility aggregation and its causes, and explores the amplification effect of information flow and leverage effect on volatility. In view of the failure of traditional risk control models in periods of high volatility, it is proposed to use time-varying volatility models and stress tests to guide traders to establish an adaptive risk management framework and achieve steady participation in the ups and downs of market cycles.
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