Multifractal Analysis of Realized Volatilities in Chinese Stock Market

Yufang Liu (), Weiguo Zhang (), Junhui Fu () and Xiang Wu ()
Additional contact information
Yufang Liu: Zhejiang University of Finance and Economics
Weiguo Zhang: South China University of Technology
Junhui Fu: Zhejiang University of Finance and Economics
Xiang Wu: Zhejiang University of Finance and Economics

Computational Economics, 2020, vol. 56, issue 2, No 2, 319-336

Abstract: Abstract This paper presents a sliding window multifractal detrending moving average (MF-DMA) method for multifractal analysis of time series. Numerical experiments on the binomial multifractal measure show improvements in fitting theoretical values by sliding window MF-DMA method compared with the original MF-DMA algorithm. We try to assess the multifractality displayed by realized volatility series of SSEC (Shanghai (securities) composite index) and SZSEC (Compositional Index of Shenzhen Stock Market) indexes in Chinese stock market via sliding window MF-DMA method, and the scaling exponents obtained are fitted to a Log-normal multifractal model. Empirical analysis shows clear evidences of the existences of multifractal features in realized volatility series of SSEC and SZSEC indexes, the multifractality degree of SSEC index is stronger than that of SZSEC index. The major sources of multifractality exhibited in realized volatility series of both SSEC and SZSEC indexes are long-range correlations of small and large fluctuations, and the fat-tailed distributions have certain effects on multifractality. The Log-normal multifractal model shows great availability to capture the scaling behavior of realized volatility series of real financial data.

Keywords: Multifractality; Sliding window MF-DMA; Log-normal multifractal model; Realized volatility (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1007/s10614-019-09920-z Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:compec:v:56:y:2020:i:2:d:10.1007_s10614-019-09920-z

Ordering information: This journal article can be ordered from
http://www.springer. ... ry/journal/10614/PS2

DOI: 10.1007/s10614-019-09920-z

Access Statistics for this article

Computational Economics is currently edited by Hans Amman

More articles in Computational Economics from Springer, Society for Computational Economics Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().