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Figure 3. Volatility clustering (continue)<br />
9%<br />
8%<br />
7%<br />
6%<br />
Squared Returns (%)<br />
5%<br />
4%<br />
3%<br />
2%<br />
1%<br />
0%<br />
04/05 08/05 12/05 04/06 08/06 12/06 04/07 08/07 12/07 04/08 08/08 12/08 04/09 08/09 12/09 04/10 08/10<br />
Date<br />
Figure 3e. Squared returns representation for 2010 EUA Futures Contract<br />
6.0%<br />
5.4%<br />
4.8%<br />
4.2%<br />
Garman-Klass volatilty<br />
3.6%<br />
3.0%<br />
2.4%<br />
1.8%<br />
1.2%<br />
0.6%<br />
0.0%<br />
04/05 07/05 10/05 01/06 04/06 07/06 10/06 01/07 04/07 07/07 10/07 01/08 04/08 07/08 10/08 01/09 04/09 07/09 10/09<br />
Figure 3f. Garman-Klass volatility for 2010 EUA Futures Contract<br />
Date<br />
21