Volatility in the Italian stock market: an empirical study
Publikation: Beitrag in Fachzeitschrift › Forschungsartikel › Beigetragen › Begutachtung
Beitragende
Abstract
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. (C) 1999 Elsevier Science B.V. All rights reserved.
Details
| Originalsprache | Englisch |
|---|---|
| Seiten (von - bis) | 148-155 |
| Seitenumfang | 8 |
| Fachzeitschrift | Physica A: Statistical Mechanics and its Applications |
| Jahrgang | 269 |
| Ausgabenummer | 1 |
| Publikationsstatus | Veröffentlicht - 1 Juli 1999 |
| Peer-Review-Status | Ja |
Externe IDs
| Scopus | 0032628659 |
|---|---|
| ORCID | /0000-0002-6574-7848/work/211720230 |
Schlagworte
Schlagwörter
- Econophysics, Random walk, Statistical finance, Stochastic processes
Bibliotheksschlagworte
- 530 Physik - Econophysics, Random walk, Statistical finance, Stochastic processes
- 510 Mathematik - Econophysics, Random walk, Statistical finance, Stochastic processes