I would like to assess a single time-series for a changing variance structure that might be leading to spurious variance estimates when that time-series is used in regression.
In my head two terms come to mind: (1) Heteroscedasticity and (2) Volatility Clustering
Here are my related questions on this:
- (True/False) Heteroscedasticity is related to non-constant variance of the errors while Volatility Clustering is related to non-constant variance of the levels of the time-series. As such Heteroscedasticity can only be tested for using residuals from a regression. Variance Clustering on the other hand could be tested for on the levels themselves without the need for regression.
- How could I test an individual time-series for Volatility Clustering?
- Can Volatility Clustering lead to spurious regressions? If so is this effect enacted through inducing Heteroscedasticity in the regression?