Volatility in the Italian stock market: an empirical study

Raberto, Marco, Scalas, Enrico, Cuniberti, Giovanni and Riani, Massimo (1999) Volatility in the Italian stock market: an empirical study. Physica A: Statistical Mechanics and its Applications, 269 (1). pp. 148-155. ISSN 0378-4371

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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.

Item Type: Article
Schools and Departments: School of Mathematical and Physical Sciences > Mathematics
Subjects: Q Science > QA Mathematics > QA0276 Mathematical statistics
Depositing User: Enrico Scalas
Date Deposited: 02 Oct 2014 13:05
Last Modified: 02 Oct 2014 13:05
URI: http://srodev.sussex.ac.uk/id/eprint/50309
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