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Volatility in the Italian stock market: an empirical study

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

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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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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