Multiscaling behavior in the volatility return intervals of Chinese indices

Abstract

We investigate the probability distribution of the return intervals $τ$ 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 $τ$, which follows a stretched exponential form $f_q(τ/< τ>)\sim e^{- a(τ/ < τ>)^γ}$ with different correlation exponent $γ$ for different threshold $q$, where $<τ>$ 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.

6 pages, 4 figures, 2 tables