Volatility in the Italian Stock Market: an Empirical Study
نویسندگان
چکیده
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.
منابع مشابه
Investigating the Asymmetry in Volatility for the Iranian Stock Market
This paper investigates the asymmetry in volatility of returns for the Iranian stock market using the daily closing values of the Tehran exchange price index (TEPIX) covering the period from March 25, 2001 to July 25, 2012, with a total of 2743 observations. To this end, two sets of tests have been employed: the first set is based on the residuals derived from a symmetric GARCH (1,1) model. The...
متن کاملModeling Stock Return Volatility Using Symmetric and Asymmetric Nonlinear State Space Models: Case of Tehran Stock Market
Volatility is a measure of uncertainty that plays a central role in financial theory, risk management, and pricing authority. Turbulence is the conditional variance of changes in asset prices that is not directly observable and is considered a hidden variable that is indirectly calculated using some approximations. To do this, two general approaches are presented in the literature of financial ...
متن کاملAugmented Dickey Fuller and Johansen Co-integration Tests of Oil Price Volatility and Stock Price in Emerging Capital Market: A Case of Nigeria
Generally, high oil prices slow economic growth, cause inflationary pressures and creates global imbalances. In addition, oil price volatility increase uncertainty and restrain the much-needed investment in the capital market. Thus, this paper applies the Augmented Dickey Fuller and Johansen Co-integration Tests in which the effect of oil price volatility, crude oil price and stock price is ana...
متن کاملHas Tehran Stock Market Calmed Down after Global Financial Crisis?Markov Switching GARCH Approach
We have introduced an early warning system for volatility regimes regarding Tehran Stock Exchange using Markov Switching GARCH approach. We have examined whether Tehran Stock Market has calmed down or more specifically, whether the surge in volatility during 2007-2010 global financial crises still affects stock return volatility in Iran. Doing so, we have used a regime switching GARCH model. ...
متن کاملModeling Stock Market Volatility Using Univariate GARCH Models: Evidence from Bangladesh
This paper investigates the nature of volatility characteristics of stock returns in the Bangladesh stock markets employing daily all share price index return data of Dhaka Stock Exchange (DSE) and Chittagong Stock Exchange (CSE) from 02 January 1993 to 27 January 2013 and 01 January 2004 to 20 August 2015 respectively. Furthermore, the study explores the adequate volatility model for the stoc...
متن کاملInvestigating Some of Effective Factors on Spoofing Manipulation in Iranian Stock Market
Objective: There is a large theoretical literature regarding stock market manipulation. However, empirical evidence of manipulation remains scare especially in emerging markets like Iran. So, it is vital to detect and prevent. Manipulation distorts prices, thereby reducing market efficiency and harms public confidence. Distorted prices increase market volatility and risk. This study empirically...
متن کامل