Multifractal behavior in the dynamics of Brazilian inflation indices

Leonardo H.S. Fernandes, Fernando H.A. Araújo, Igor E.M. Silva, Urbanno P.S. Leite, Neílson F. de Lima, Tatijana Stosic and Tiago A.E. Ferreira

Physica A: Statistical Mechanics and its Applications, 2020, vol. 550, issue C

Abstract: In this paper, we applied the Multifractal Detrended Fluctuations Analysis (MF-DFA) to investigate the components of the observed multifractality in time series of 6 Brazilian inflation indices. We found the generalized Hurst exponent h(q) for each Brazilian inflation indices and quantify their statistical properties, which allowed us to observe separately the small scale contributing (primarily via the negative moments q) and the large scale (via the positive moments q). We also calculated the multifractal spectrum f(α) and used a fourth-degree polynomial regression fit to estimate the complexity parameters that describe the degree of multifractality of the underlying process. We compared the MF-DFA results for the original time series with those for shuffled series. We found that its multifractal nature is due to two factors: broadness of probability density function of the times series and different correlations in small and large scale fluctuations.

Keywords: Brazilian inflation indices; Generalized Hurst exponent; Multifractal detrended fluctuation analysis; Multifractal spectrum; Complexity (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:550:y:2020:i:c:s0378437120300145

DOI: 10.1016/j.physa.2020.124158

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