paper

Volatility in the Italian Stock Market: an Empirical Study

arXiv:cond-mat/9903221 · doi:10.1016/S0378-4371(99)00089-8

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.

arXiv comment9 pages, 4 figures, LaTeX2e, to be published in Physica A

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