The variation in volatility that arises when the standard deviation of a rate/ price has, itself, a standard deviation. Heteroskedasticity is related to the fourth moment, kurtosis, of a normal (Gaussian) distribution. This variation in normal distribution makes a normal probability distribution display the fourth moment, even when it should not come forth. This results essentially from the large difference in the size of observations in a time series.
April 5, 2023