Research on the relationship between the multifractality and long memory of realized volatility in the SSECI

Zhanliang Jia, Meilan Cui and Handong Li

Physica A: Statistical Mechanics and its Applications, 2012, vol. 391, issue 3, 740-749

Abstract: We examine the multifractal properties of the realized volatility (RV) and realized bipower variation (RBV) series in the Shanghai Stock Exchange Composite Index (SSECI) by using the multifractal detrended fluctuation analysis (MF-DFA) method. We find that there exist distinct multifractal characteristics in the volatility series. The contributions of two different types of source of multifractality, namely, fat-tailed probability distributions and nonlinear temporal correlations, are studied. By using the unit root test, we also find the strength of the multifractality of the volatility time series is insensitive to the sampling frequency but that the long memory of these series is sensitive.

Keywords: MF-DFA; Multifractality; Long memory; Realized volatility; Realized bipower variation (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:391:y:2012:i:3:p:740-749

DOI: 10.1016/j.physa.2011.08.060

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