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arXiv · 0809.0250

Multiscaling behavior in the volatility return intervals of Chinese indices

Fei Ren·Wei-Xing Zhou
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Abstract

We investigate the probability distribution of the return intervals $τ$ between successive 1-min volatilities of two Chinese indices exceeding a certain threshold $q$. The Kolmogorov-Smirnov (KS) tests show that the two indices exhibit multiscaling behavior in the distribution of $τ$, which follows a stretched exponential form $f_q(τ/< τ>)\sim e^{- a(τ/ < τ>)^γ}$ with different correlation exponent $γ$ for different threshold $q$, where $<τ>$ is the mean return interval corresponding to a certain value of $q$. An extended self-similarity analysis of the moments provides further evidence of multiscaling in the return intervals.

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BibTeXRIS

Fei Ren, Wei-Xing Zhou. 2008-09-01. Multiscaling behavior in the volatility return intervals of Chinese indices. https://doi.org/10.1209/0295-5075/84/68001

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