# Which method would you use to compare if a time series of financial returns has more “clusterized volatility” than another?

It is known that the historical series of financial returns are characterized by the so-called volatility clustering. Suppose we approximate the number of two-type clusters, namely the high and low volatility cluster.

Which method would you use to compare if a time series of financial returns has more "clusterized volatility" than another?

On the basis of your knowledge or your studies, would you be able to indicate which stocks or commodities present this feature more clearly?

2) the "cluster effect" can be measured as the R-square in regressing $(\rm{Return} - \mu)^2$ on the estimated level of $\rm{Volatility}^2$.