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Volatility in the Italian Stock Market: an Empirical Study

Marco Raberto·Enrico Scalas·Gianaurelio Cuniberti·Massimo Riani
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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.

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Marco Raberto, Enrico Scalas, Gianaurelio Cuniberti, Massimo Riani. 1999-03-14. Volatility in the Italian Stock Market: an Empirical Study. https://doi.org/10.1016/s0378-4371(99)00089-8

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