Multiscaling behavior in the volatility return intervals of Chinese indices

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dc.creatorRen, Fei
dc.creatorZhou, Wei-Xing
dc.date2008-09-01
dc.date.accessioned2026-07-07T12:22:07Z
dc.date.available2026-07-07T12:22:07Z
dc.descriptionWe investigate the probability distribution of the return intervals $τ$ between successive 1-min volatilities of two Chinese indices exceeding a certain threshold $q$. The Kolmogorov-Smirnov (KS) tests show that the two indices exhibit multiscaling behavior in the distribution of $τ$, which follows a stretched exponential form $f_q(τ/< τ>)\sim e^{- a(τ/ < τ>)^γ}$ with different correlation exponent $γ$ for different threshold $q$, where $<τ>$ is the mean return interval corresponding to a certain value of $q$. An extended self-similarity analysis of the moments provides further evidence of multiscaling in the return intervals.
dc.description6 pages, 4 figures, 2 tables
dc.identifierhttps://arxiv.org/abs/0809.0250
dc.identifierhttp://arxiv.org/abs/0809.0250
dc.identifierEPL 84, 68001 (2008)
dc.identifierdoi:10.1209/0295-5075/84/68001
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/213543
dc.subjectStatistical Finance
dc.subjectPhysics and Society
dc.titleMultiscaling behavior in the volatility return intervals of Chinese indices
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