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Leadbetter, G. Lindgren} and \\textit{H. Rootzen} [Extremes and related properties of random sequences and processes. (1983; Zbl 0518.60021)]. Let \\(\\{X^*_n \\}\\) be the associated sequence of independent rv's. As known,  \\[  P( max_{1\\leq k\\leq n}X_k \\leq u_n ) \\rightarrow G^{\\theta}(x) \\Longleftrightarrow P( max_{1\\leq k\\leq n} X^*_k \\leq u_n ) \\rightarrow G(x), \\]  as \\(n\\rightarrow \\infty\\). Thus, the extremal index \\(0 \\leq \\theta \\leq 1\\) may be seen as a measure of dependence in extreme values. Estimating \\(\\theta\\) is equivalent to identifying independent clusters. Different understanding of clusters leads to different estimators for \\(\\theta\\).  The run estimator of \\(\\theta\\), \\(\\theta(u,m) = P( max_{2\\leq k\\leq m}X_k \\leq u \\mid X_1 >u)\\), based on the characterization of \\textit{G.L. O'Brien} [see Ann. Probab. 15 281--291 (1987; Zbl 0619.60025)], takes independent clusters to be exceedances of \\(u\\) that are separated by \\(m-1\\) consecutive values which do not exceed \\(u\\).  The authors' two-thresholds extension \\(\\theta(u,m,c), \\quad c<u \\), of the runs approach has clusters terminating if a sufficiently small (i.e., \\( \\leq c \\) ) value of the process is observed between two exceedances of the threshold \\(u\\). The authors consider two types of dependence: induced by either autoregression or by volatility. On different examples they illustrate the advantages of their new method for identifying clusters. 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