Analysis of Financial Volatility Based on Wavelet Analysis
Zhang Shi-ying · Systems Engineering - Theory & Practice · 2005
A long memory analysis method based on wavelet variance and a correlation analysis method based on wavelet covariance for financial volatilities are proposed. The methods suggested are proved to be effective and feasible by analyzing the return volatility series of composite index of Shanghai and Shenzhen stock markets. And also, the correlation properties of DWT coefficients of the same scale and different scales of LMSV process are analyzed. The result suggests that for both the same scale and different scales, DWT coefficients of LMSV process are approximately uncorrelated.