Wei, Yu; Wang, Peng - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 7, pp. 1585-1592
In this paper, taking about 7 years’ high-frequency data of the Shanghai Stock Exchange Composite Index (SSEC) as an example, we propose a daily volatility measure based on the multifractal spectrum of the high-frequency price variability within a trading day. An ARFIMA model is used to...