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Volatility in the Italian Stock Market: an Empirical Study

  • Marco Raberto

    (Universita` di Genova, Italy)

  • Enrico Scalas

    (Universita` del Piemonte Orientale, Italy)

  • Gianaurelio Cuniberti

    (Max-Planck-Institut fuer Physik komplexer Systeme, Germany)

  • Massimo Riani

    (Universita` di Genova, Italy)

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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File URL: http://arxiv.org/pdf/cond-mat/9903221
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Paper provided by arXiv.org in its series Papers with number cond-mat/9903221.

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Date of creation: Mar 1999
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Publication status: Published in Physica A 269, 148-155 (1999)
Handle: RePEc:arx:papers:cond-mat/9903221
Contact details of provider: Web page: http://arxiv.org/

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