We examine the multifractal properties of the realized volatility (RV) and realized bipower variation (RBV) series in the Shanghai Stock Exchange Composite Index (SSECI) by using the multifractal detrended fluctuation analysis (MF-DFA) method. We find that there exist distinct multifractal...

Recent empirical literature documents the presence of long-term memory in return volatility. But the mechanism of the existence of long-term memory is still unclear. In this paper, we investigate the origin and properties of long-term memory with nonparametric volatility, using high-frequency...