Multiscaling behavior in the volatility return intervals of Chinese indices

We investigate the probability distribution of the return intervals $\tau$ between successive 1-min volatilities of two Chinese indices exceeding a certain threshold $q$. The Kolmogorov-Smirnov (KS) tests show that the two indices exhibit multiscaling behavior in the distribution of $\tau$, which follows a stretched exponential form $f_q(\tau/ )\sim e^{- a(\tau/ )^{\gamma}}$ with different correlation exponent $\gamma$ for different threshold $q$, where $ $ is the mean return interval corresponding to a certain value of $q$. An extended self-similarity analysis of the moments provides further evidence of multiscaling in the return intervals.

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