Qu'est-ce que « Volatility clustering, conditional heteroskedasticity » ?

Volatility clustering is the tendency of large returns, of either sign, to follow large returns, and small ones small: squared returns are positively autocorrelated although returns are nearly not. A return series has conditional heteroskedasticity when its variance given the past, $h_t = \Var(r_t \mid \mathcal F_{t-1})$, varies over time.