Scaling and memory in the return intervals of realized volatility

Economy – Quantitative Finance – Statistical Finance

Scientific paper

Rate now

  [ 0.00 ] – not rated yet Voters 0   Comments 0

Details

12 pages, 6 figures, 2 tables

Scientific paper

10.1016/j.physa.2009.08.009

We perform return interval analysis of 1-min {\em{realized volatility}} defined by the sum of absolute high-frequency intraday returns for the Shanghai Stock Exchange Composite Index (SSEC) and 22 constituent stocks of SSEC. The scaling behavior and memory effect of the return intervals between successive realized volatilities above a certain threshold $q$ are carefully investigated. In comparison with the volatility defined by the closest tick prices to the minute marks, the return interval distribution for the realized volatility shows a better scaling behavior since 20 stocks (out of 22 stocks) and the SSEC pass the Kolmogorov-Smirnov (KS) test and exhibit scaling behaviors, among which the scaling function for 8 stocks could be approximated well by a stretched exponential distribution revealed by the KS goodness-of-fit test under the significance level of 5%. The improved scaling behavior is further confirmed by the relation between the fitted exponent $\gamma$ and the threshold $q$. In addition, the similarity of the return interval distributions for different stocks is also observed for the realized volatility. The investigation of the conditional probability distribution and the detrended fluctuation analysis (DFA) show that both short-term and long-term memory exists in the return intervals of realized volatility.

No associations

LandOfFree

Say what you really think

Search LandOfFree.com for scientists and scientific papers. Rate them and share your experience with other people.

Rating

Scaling and memory in the return intervals of realized volatility does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Scaling and memory in the return intervals of realized volatility, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Scaling and memory in the return intervals of realized volatility will most certainly appreciate the feedback.

Rate now

     

Profile ID: LFWR-SCP-O-314015

All data on this website is collected from public sources. Our data reflects the most accurate information available at the time of publication.