Volatility in the Italian stock market: an empirical study

Marco Raberto, Enrico Scalas, Gianaurelio Cuniberti and Massimo Riani

Physica A: Statistical Mechanics and its Applications, 1999, vol. 269, issue 1, 148-155

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.

Keywords: Stochastic processes; Random walk; Statistical finance; Econophysics (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (6)

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Related works:
Working Paper: Volatility in the Italian Stock Market: An Empirical Study (2004)
Working Paper: Volatility in the Italian Stock Market: an Empirical Study (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:269:y:1999:i:1:p:148-155

DOI: 10.1016/S0378-4371(99)00089-8

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