Analysis on Multifractal Characteristic of Volatility in Shanghai Stock Market

摘要：

　　In this paper,we take the five minutes’ high-frequency data ranged from January 2,2003 to December 31,2008 of Shanghai Stock Exchange Composite Index as a sample,using the partition function method and multifractal detrended fluctuation analysis method (MF-DFA method) to calculate multifractal characteristic of realized volatility of Shanghai Index in different stages.Then we analyze the relationship between sampling frequency and the intensity of multifractal.Our study shows that the multifractal strength of realized volatility of Shanghai Index in different stages are differ from each other,at the same time,different sampling frequency also have significant influence on multifractality.

关键词： realized volatility long memory multifractality stable distribution MF-DFA

作者: XUE Hao LI Handong

作者单位: School of Management,Beijing Normal University,Beijing,China,100875

会议类型: 国际会议

会议名称: the 5th (2013)International Conference on Financial Risk and Corporate Finance Management(第五届(2013)金融风险与公司金融国际研讨会)

会议地点: 大连

会议语种:英文

页码: 131-135

在线出版日期: 2013-06-29（万方平台首次上网日期，不代表论文的发表时间）