Analysis on Multifractal Characteristic of Volatility in Shanghai Stock Market

摘要

In this paper,we take the five minutes’ high-frequency data ranged from January 2,2003 to December 31,2008 of Shanghai Stock Exchange Composite Index as a sample,using the partition function method and multifractal detrended fluctuation analysis method (MF-DFA method) to calculate multifractal characteristic of realized volatility of Shanghai Index in different stages.Then we analyze the relationship between sampling frequency and the intensity of multifractal.Our study shows that the multifractal strength of realized volatility of Shanghai Index in different stages are differ from each other,at the same time,different sampling frequency also have significant influence on multifractality.