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Volatility in the Italian stock market: an empirical study

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  • Raberto, Marco
  • Scalas, Enrico
  • Cuniberti, Gianaurelio
  • Riani, Massimo

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.

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Bibliographic Info

Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

Volume (Year): 269 (1999)
Issue (Month): 1 ()
Pages: 148-155

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Handle: RePEc:eee:phsmap:v:269:y:1999:i:1:p:148-155

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Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

Related research

Keywords: Stochastic processes; Random walk; Statistical finance; Econophysics;

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Cited by:
  1. Lemmens, D. & Liang, L.Z.J. & Tempere, J. & De Schepper, A., 2010. "Pricing bounds for discrete arithmetic Asian options under Lévy models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(22), pages 5193-5207.
  2. Raberto, Marco & Teglio, Andrea & Cincotti, Silvano, 2006. "A general equilibrium model of a production economy with asset markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 75-80.

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