Multifractal analysis of realized range-based volatility in Shanghai Stock Exchange Composite Index

Author

Zhanliang, Jia ; Handong, Li

Author_Institution

Sch. of Manage., Beijing Normal Univ., Beijing, China

Volume

2

fYear

2010

fDate

9-10 Jan. 2010

Firstpage

985

Lastpage

988

Abstract

We investigate the multifractal character of the realized range-based volatility (RRV) in Shanghai Stock Exchange Composite Index. Through the partition function approach, we estimate the Renyi exponent and the singular spectrum, it has been found that the RRV series have significant multifractal properities. By introducing the shuffled and the surrogate series, we find that the long range temporal correlations and the fat-taile variations of volatility series are two sources of multifractality.

Keywords

fractals; stock markets; Renyi exponent; Shanghai stock exchange composite index; multifractal analysis; partition function approach; realized range-based volatility; shuffled series; singular spectrum; surrogate series; temporal correlations; Econometrics; Fluctuations; Fractals; Mechanical factors; Microstructure; Performance analysis; Risk management; Sampling methods; Stock markets; Time series analysis; Multifractal; Partition Function Approach; Realized Range-based Volatility; Renyi Exponent; Singular Spectrum;

fLanguage

English

Publisher

ieee

Conference_Titel

Logistics Systems and Intelligent Management, 2010 International Conference on

Conference_Location

Harbin

Print_ISBN

978-1-4244-7331-1

Type

conf

DOI

10.1109/ICLSIM.2010.5461102

Filename

5461102