Multiscaling behavior in the volatility return intervals of Chinese indices

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

Corresponding authors: fren@ecust.edu.cn wxzhou@ecust.edu.cn

Received: 4 September 2008
Accepted: 12 November 2008

Abstract

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 γ 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.