Revisiting the multifractality in stock returns and its modeling implications

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• 作者：Shanshan He ; Yudong Wang ; ^{wangyudongnj@126.com}
• 关键词：MF-DMA ; Multifractality ; Stock return ; Fat-tailed distribution ; ARFIMA-GARCH
• 刊名：Physica A: Statistical Mechanics and its Applications
• 出版年：2017
• 出版时间：1 February 2017
• 年：2017
• 卷：467
• 期：Complete
• 页码：11-20
• 全文大小：837 K
• 卷排序：467

文摘

The significant multifractality is revealed via MF-DMA. We innovatively consider the contribution of extreme events to multifractality. The advanced ARFIMA-GARCH can capture a moderate fraction of multifractality. More sophisticated models do not necessarily perform better than simple ones in capturing multifractality.