Statistical properties of volatility return intervals of Chinese stocks

Simple item page
dc.creatorRen, Fei
dc.creatorGuo, Liang
dc.creatorZhou, Wei-Xing
dc.date2008-07-11
dc.date.accessioned2026-07-07T12:27:27Z
dc.date.available2026-07-07T12:27:27Z
dc.descriptionThe statistical properties of the return intervals $τ_q$ between successive 1-min volatilities of 30 liquid Chinese stocks exceeding a certain threshold $q$ are carefully studied. The Kolmogorov-Smirnov (KS) test shows that 12 stocks exhibit scaling behaviors in the distributions of $τ_q$ for different thresholds $q$. Furthermore, the KS test and weighted KS test shows that the scaled return interval distributions of 6 stocks (out of the 12 stocks) can be nicely fitted by a stretched exponential function $f(τ/\barτ)\sim e^{- α(τ/\barτ)^γ}$ with $γ\approx0.31$ under the significance level of 5%, where $\barτ$ is the mean return interval. The investigation of the conditional probability distribution $P_q(τ| τ_0)$ and the mean conditional return interval $<τ| τ_0>$ demonstrates the existence of short-term correlation between successive return interval intervals. We further study the mean return interval $<τ| τ_0>$ after a cluster of $n$ intervals and the fluctuation $F(l)$ using detrended fluctuation analysis and find that long-term memory also exists in the volatility return intervals.
dc.description8 pages, 8 figures
dc.identifierhttps://arxiv.org/abs/0807.1818
dc.identifierhttp://arxiv.org/abs/0807.1818
dc.identifierPhysica A 388 (6), 881-890 (2009)
dc.identifierdoi:10.1016/j.physa.2008.12.005
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/215211
dc.subjectStatistical Finance
dc.subjectData Analysis, Statistics and Probability
dc.subjectPhysics and Society
dc.titleStatistical properties of volatility return intervals of Chinese stocks
dc.typetext

Files

Collections

arXiv