Universal scaling behaviors of meteorological variables’ volatility and relations with original records

Feiyu Lu, Naiming Yuan, Zuntao Fu and Jiangyu Mao

Physica A: Statistical Mechanics and its Applications, 2012, vol. 391, issue 20, 4953-4962

Abstract: Volatility series (defined as the magnitude of the increments between successive elements) of five different meteorological variables over China are analyzed by means of detrended fluctuation analysis (DFA for short). Universal scaling behaviors are found in all volatility records, whose scaling exponents take similar distributions with similar mean values and standard deviations. To reconfirm the relation between long-range correlations in volatility and nonlinearity in original series, DFA is also applied to the magnitude records (defined as the absolute values of the original records). The results clearly indicate that the nonlinearity of the original series is more pronounced in the magnitude series.

Keywords: DFA; Volatility; Nonlinearity (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:391:y:2012:i:20:p:4953-4962

DOI: 10.1016/j.physa.2012.05.031

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