The dynamics of unilateral coefficients of assets' sensitivity and their asymmetry as factors for prediction and interpretation of volatility clustering

The article suggests to interpret the phenomenon of volatility clustering as consequence of the market failure to provide a consistent reflection of the accumulated information in the asset price. It can be recognized in the dynamics of unilateral coefficients of assets' sensitivity to market changes and their asymmetry. Based on the theoretical relationships, the author formulates and confirms the hypotheses (or rather rejects a hypotheses), that the dynamics of unilateral coefficients of assets' sensitivity to market changes and their asymmetry are significant factors in the context of the prediction and interpretation of the clustering of stock returns volatility. The collusion of economic agents can be a reason of the stable asymmetry, in this regard the author proposes a methodology of identification and counteraction to such phenomena by means of arbitrage transactions.