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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 RianiWe 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.
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Publication status
- Published
Journal
Physica A: Statistical Mechanics and its ApplicationsISSN
0378-4371Publisher
ElsevierExternal DOI
Issue
1Volume
269Page range
148-155Department affiliated with
- Mathematics Publications
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- No
Peer reviewed?
- Yes
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2014-10-02Usage metrics
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