Volatility in the Italian stock market: an empirical study
Research output: Contribution to journal › Research article › Contributed › peer-review
Contributors
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
| Original language | English |
|---|---|
| Pages (from-to) | 148-155 |
| Number of pages | 8 |
| Journal | Physica A: Statistical Mechanics and its Applications |
| Volume | 269 |
| Issue number | 1 |
| Publication status | Published - 1 Jul 1999 |
| Peer-reviewed | Yes |
External IDs
| Scopus | 0032628659 |
|---|---|
| ORCID | /0000-0002-6574-7848/work/211720230 |
Keywords
Keywords
- Econophysics, Random walk, Statistical finance, Stochastic processes