Horror films have never been held to a specific "one size fits all" approach when it comes to the types of scary narratives they wish to show their audiences. One format that is often used in all genres of fiction -- but most notably in horror movies and television shows -- is the anthology format. This is a collection of short story segments compiled together into one final product. A classic example like Creepshow or a more modern version of a horror anthology movie like V/H/S are effective in combining creepy tales and connecting them in a compelling manner.
Source:https://www.cbr.com/best-horror-anthology-movies/