Multiscaling behavior in the volatility return intervals of Chinese indices

作者：Ren Fei^*; Zhou Wei Xing

来源：EPL, 2008, 84(6): 68001.

DOI：10.1209/0295-5075/84/68001

We investigate the probability distribution of the return intervals tau 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 tau, which follows a stretched exponential form f(q)(tau/<tau >) similar to e(-(a tau/<tau >)gamma) with different correlation exponent gamma for different threshold q, where <tau > 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. Our results can be viewed as a support to the recent finding of Wang et al. (Phys. Rev. E, 77 (2008) 016109) that the volatility return intervals of stocks exhibit multiscaling behavior.

• 出版日期2008-12
• 单位东华大学