Volatility in the Italian Stock Market: an Empirical Study

Marco Raberto, Enrico Scalas, Gianaurelio Cuniberti and Massimo Riani
Additional contact information
Gianaurelio Cuniberti: Max-Planck-Institut fuer Physik komplexer Systeme, Germany
Massimo Riani: Universita` di Genova, Italy

Papers from arXiv.org

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.

Date: 1999-03
References: View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Published in Physica A 269, 148-155 (1999)

Downloads: (external link)
http://arxiv.org/pdf/cond-mat/9903221 Latest version (application/pdf)

Related works:
Working Paper: Volatility in the Italian Stock Market: An Empirical Study (2004)
Journal Article: Volatility in the Italian stock market: an empirical study (1999)
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:arx:papers:cond-mat/9903221

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().