Warwick Business School, Financial Econometrics Research Centre
Abstract
In this paper, we consider daily financial data of a collection of different stock market indices, exchange rates, and interest rates, and we analyze their multi-scaling properties by estimating a simple specification of the Markov-switching multifractal model (MSM). In order to see how well the estimated models capture the temporal dependence of the data, we estimate and compare the scaling exponents H(q) (for q = 1, 2) for both empirical data and simulated data of the estimated MSM models. In most cases the multifractal model appears to generate ‘apparent’ long memory in agreement with the empirical scaling laws
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