Abstract
Volatility fluctuations are of great importance for the study of financial markets, and the temporal structure is an essential feature of fluctuations. To explore the temporal structure, we employ a new approach based on the return interval, which is defined as the time interval between two successive volatility values that are above a given threshold. We find that the distribution of the return intervals follows a scaling law over a wide range of thresholds, and over a broad range of sampling intervals. Moreover, this scaling law is universal for stocks of different countries, for commodities, for interest rates, and for currencies. However, further and more detailed analysis of the return intervals shows some systematic deviations from the scaling law. We also demonstrate a significant memory effect in the return intervals time organization. We find that the distribution of return intervals is strongly related to the correlations in the volatility.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
