Are financial returns and volatility multifractal at all?
|Author:||Mgr. Jana Sedlaříková|
|Year:||2016 - summer|
|Leaders:|| prof. PhDr. Ladislav Krištoufek Ph.D.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:|
|Abstract:||Over the last decades, multifractality has become a downright stylized fact in
financial markets. However, its presence has not been adequately statistically
proved. The main aim of this thesis is to contribute to the discussion by an extensive
statistical analysis of the problem. We investigate returns and volatility of
the collection of the four stock indices employing the three popular methods: the
GHE, the MF-DFA, and the MF-DMA method. By comparing the results of the
original series to those for simulated monofractal series, we conclude that stock
market returns as well as volatility exhibit a multifractal nature. Additionally,
in order to understand the origin of underlying multifractality, we study various
surrogate series. We found that a fat-tailed distribution significantly affects
multifractality. On the other, we were not able to confirm the impact of time
correlations as the results strongly depend on the applied model.