Login or register (free and only takes a few minutes) to participate in this question.You will also have access to many other tools and opportunities designed for those who have language-related jobs (or are passionate about them). Participation is free and the site has a strict confidentiality policy.
Spanish to English translations [PRO]
Bus/Financial - Finance (general) / statistics, interest rates | | Spanish term or phrase: efecto agrupamiento | | En cuanto al comportamiento de la volatilidad en las series de tipos de interés, es ampliamente reconocido que estas series presentan una fuerte heteroscedasticidad condicional en la varianza. De este modo una especificación ARCH para la volatilidad permite recoger el efecto agrupamiento y la alta persistencia, propios de las series financieras. |
| MJ BarberKudoZ activityQuestions: 1409 ( 1 open) ( 21 without valid answers) ( 61 closed without grading) Answers: 1352
| | Local time: 08:58
|
| | clustering effect | Explanation:
Empirical studies have concluded that large change in prices today tend to be followed by larger change in either direction. This implies that volatility must bepredictably high after large changes. This phenomenon of securities volatility, known also as the **clustering effect**, has important implications for security price modelling, risk and market timing. Currently the most powerful known techniques used to estimate and predict the volatility on high frequency data belong to the family of Autoregressive Conditionally Heteroscedastic (ARCH) models.
http://www.wmin.ac.uk/marylebone/wbs/modules/4fin713.pdf
Although widely discussed in the economic and econometric literature [3, 17], the leverage effect (or volatility-return correlation) has been less systematically investigated than the volatility **clustering effect** (volatility-volatility correlation). For example, one would like to know if the volatility-return correlation shows a long term dependence similar to that observed on the volatility-volatility correlation. Although various single correlation coeffcients quantifying the leverage
effect have been measured and discussed within GARCH models...
http://www.eco.fundp.ac.be/cerefim/varpaper/200101. (Bouchau... |
| Selected response from:
 Marocas
Local time: 02:28
| Grading comment thanks
4 KudoZ points were awarded for this answer |
| |
| Discussion entries: 0 |
|---|
Automatic update in 00:
|
Return to KudoZ list
|
| | | | X Sign in to your ProZ.com account... | | | | |
| KudoZ™ translation helpThe KudoZ network provides a framework for translators and others to assist each other with translations or explanations of terms and short phrases. See also: Search millions of term translations  |
The translation workplace 
peer agreement (net): +1
