Multiscaling behavior in the volatility return intervals of Chinese indices

Abstract

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 $f_q(\tau /<\tau >)\sim e^{-a(\tau /<\tau >{)}^{\gamma }}$ 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.

6 pages, 4 figures, 2 tables

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Cited by in corpus (2)

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