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Volatility in the Italian Stock Market: An Empirical Study

Author

Listed:
  • Marco Raberto

    (Universita' di Genova, Genova, Italy)

  • Enrico Scalas

    (Universita' del Piemonte Orientale, Alessandria, Italy)

  • Gianaurelio Cuniberti

    (MPI fuer Physik komplexer Systeme, Dresden, Germany)

  • Massimo Riani

    (INFM, Genova, Italy)

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.

Suggested Citation

  • Marco Raberto & Enrico Scalas & Gianaurelio Cuniberti & Massimo Riani, 2004. "Volatility in the Italian Stock Market: An Empirical Study," Finance 0411006, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpfi:0411006
    Note: Type of Document - pdf; pages: 9. Preprint pdf version of a paper published in Physica A, vol.269, no.1, p.148-55, 1 July 1999.
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    Citations

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    Cited by:

    1. Enrico Scalas & Rudolf Gorenflo & Hugh Luckock & Francesco Mainardi & Maurizio Mantelli & Marco Raberto, 2004. "Anomalous waiting times in high-frequency financial data," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 695-702.
    2. 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.
    3. Choi, Sun-Yong, 2020. "Industry volatility and economic uncertainty due to the COVID-19 pandemic: Evidence from wavelet coherence analysis," Finance Research Letters, Elsevier, vol. 37(C).
    4. Cincotti, Silvano & M. Focardi, Sergio & Marchesi, Michele & Raberto, Marco, 2003. "Who wins? Study of long-run trader survival in an artificial stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 227-233.
    5. Zhuang, Xin-tian & Huang, Xiao-yuan & Sha, Yan-li, 2004. "Research on the fractal structure in the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 333(C), pages 293-305.
    6. 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.

    More about this item

    Keywords

    volatility; stochastic processes; random walk; statistical finance;
    All these keywords.

    JEL classification:

    • G - Financial Economics

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