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Volatility in the Italian stock market: an empirical study

journal contribution
posted on 2023-06-08, 18:27 authored by Marco Raberto, Enrico Scalas, Giovanni Cuniberti, Massimo Riani
We study the volatility of the MIB30-stock-index high-frequency data from November 28, 1994 through September 15, 1995. Our aim is to empirically characterize the volatility random walk in the framework of continuous-time finance. To this end, we compute the index volatility by means of the log-return standard deviation. We choose an hourly time window in order to investigate intraday properties of volatility. A periodic component is found for the hourly time window, in agreement with previous observations. Fluctuations are studied by means of detrended fluctuation analysis, and we detect long-range correlations. Volatility values are log-stable distributed. We discuss the implications of these results for stochastic volatility modelling.

History

Publication status

  • Published

Journal

Physica A: Statistical Mechanics and its Applications

ISSN

0378-4371

Publisher

Elsevier

Issue

1

Volume

269

Page range

148-155

Department affiliated with

  • Mathematics Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2014-10-02

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