Volatility in the Italian Stock Market: an Empirical Study

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dc.creatorRaberto, Marco
dc.creatorScalas, Enrico
dc.creatorCuniberti, Gianaurelio
dc.creatorRiani, Massimo
dc.date1999-03-14
dc.date.accessioned2026-07-07T12:07:10Z
dc.date.available2026-07-07T12:07:10Z
dc.descriptionWe 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.
dc.description9 pages, 4 figures, LaTeX2e, to be published in Physica A
dc.identifierhttps://arxiv.org/abs/cond-mat/9903221
dc.identifierhttp://arxiv.org/abs/cond-mat/9903221
dc.identifierPhysica A 269, 148-155 (1999)
dc.identifierdoi:10.1016/S0378-4371(99)00089-8
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208878
dc.subjectStatistical Mechanics
dc.subjectDisordered Systems and Neural Networks
dc.subjectStatistical Finance
dc.titleVolatility in the Italian Stock Market: an Empirical Study
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