Multiscaling behavior in the volatility return intervals of Chinese indicesFei Ren1, 2 and Wei-Xing Zhou1, 2, 3, 4
1 School of Business, East China University of Science and Technology - Shanghai 200237, China
2 Research Center for Econophysics, East China University of Science and Technology - Shanghai 200237, China
3 School of Science, East China University of Science and Technology - Shanghai 200237, China
4 Engineering Research Center of Process Systems Engineering (Ministry of Education), East China University of Science and Technology - Shanghai 200237, China
received 4 September 2008; accepted in final form 12 November 2008; published December 2008
published online 23 December 2008
We investigate the probability distribution of the return intervals between successive 1-min volatilities of two Chinese indices exceeding a certain threshold q. The Kolmogorov-Smirnov (KS) tests show that the two indices exhibit multiscaling behavior in the distribution of , which follows a stretched exponential form with different correlation exponent for different threshold q, where is the mean return interval corresponding to a certain value of q. An extended self-similarity analysis of the moments provides further evidence of multiscaling in the return intervals. Our results can be viewed as a support to the recent finding of Wang et al. (Phys. Rev. E, 77 (2008) 016109) that the volatility return intervals of stocks exhibit multiscaling behavior.
89.65.Gh - Economics; econophysics, financial markets, business and management.
89.75.Da - Systems obeying scaling laws.
05.45.Tp - Time series analysis.
© EPLA 2008