A multi-horizon scale for volatility

Alexander Subbotin ()
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Alexander Subbotin: Centre d'Economie de la Sorbonne et Higher School of Economics (Moscow), https://centredeconomiesorbonne.univ-paris1.fr

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

Abstract: We decompose volatility of a stock market index both in time and scale using wavelet filters and design a probabilistic indicator for valatilities, analogous to the Richter scale in geophysics. The peak-over-threshold method is used to fit the generalized Pareto probability distribution for the extreme values in the realized variances of wavelet coefficients. The indicator is computed for the daily Dow Jones Industrial Averages index data from 1986 to 2007 and for the intraday CAC 40 data from 1995 to 2006. The results are used for comparison and structural multi-resolution analysis of extreme events on the stock market and for the detection of financial crises

Keywords: Stock market; volatility; wavelets; multi-resolution analysis; financial crisis (search for similar items in EconPapers)
JEL-codes: G10 G14 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2008-03
New Economics Papers: this item is included in nep-ets, nep-fmk and nep-rmg
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:bla08020

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