Stock returns volatility clustering and diversification potential dynamics on the Russian market

The article presents the concept of Diversification Potential for the portfolio. This concept is the main element in micro-level volatility clustering - macro-level volatility clustering transformation mechanism. The author developed and applied methods to calculate the market's dynamic Diversification Potential Index (DPI) based on the dynamics of pairwise assets correlation coefficients and the phenomenon of assets volatility clustering, as well as the model to forecast the dynamic coefficients of assets realized correlation.