Statistical regularities in the return intervals of volatility
β Scribed by F. Wang; P. Weber; K. Yamasaki; S. Havlin; H. E. Stanley
- Book ID
- 111622012
- Publisher
- Springer
- Year
- 2006
- Tongue
- English
- Weight
- 359 KB
- Volume
- 55
- Category
- Article
- ISSN
- 1434-6036
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
We investigate the probability distribution of the volatility return intervals Ο for the Chinese stock market. We rescale both the probability distribution P q (Ο ) and the volatility return intervals Ο as P q (Ο ) = 1/Ο f (Ο /Ο ) to obtain a uniform scaling curve for different threshold value q. Th
## Abstract We propose a novel, simple, efficient and distributionβfree reβsampling technique for developing prediction intervals for returns and volatilities following ARCH/GARCH models. In particular, our key idea is to employ a BoxβJenkins linear representation of an ARCH/GARCH equation and then