Before revision:  Using this method, we investigate and determine a clustering structure for indices , large cap equitiesand exchange-traded funds .
After revision:  Using this method, we investigate and determine a clustering structure for indices , large cap equitiesand exchange-traded funds and currency pairs. Our method overcomes the rigid assumptions necessary to implement many parametric regime-switching models, while effectively distilling a time series into several characteristic behaviours. Our results provide significant simplification of these time series and a strong descriptive analysis of prior behaviours of volatility. This empirical analysis could be used with other regime-switching implementations, justifying the parametric structure encoded in any candidate model.