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In [[finance]], '''volatility clustering''' refers to the observation, as noted by [[Benoît Mandelbrot|Mandelbrot]] (1963), that "large changes tend to be followed by large changes, of either sign, and small changes tend to be followed by small changes." A quantitative manifestation of this fact is that, while returns themselves are uncorrelated, absolute returns <math>|r_{t}|</math> or their squares display a positive, significant and slowly decaying autocorrelation function: corr(|r{{sub|t}}|, |r{{sub|t+τ}} |) > 0 for τ ranging from a few minutes to several weeks.


Observations of this type in financial time series have led to the use of [[GARCH]] models in financial forecasting and [[Derivative (finance)|derivatives]] pricing. The [[ARCH]] ([[Robert F. Engle|Engle]], 1982) and [[GARCH]] ([[Tim Bollerslev|Bollerslev]], 1986) models aim to more accurately describe the phenomenon of volatility clustering and related effects such as [[kurtosis]]. The main idea behind these two widely used models is that volatility is dependent upon past realizations of the asset process and related volatility process. This is a more precise formulation of the intuition that asset [[Volatility (finance)|volatility]] tends to revert to some mean rather than remaining constant or moving in [[monotonic]] fashion over time.  
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*[[Stochastic volatility]]


{{Volatility}}
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