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The Research of the Periodic Features of Stock Index Volatility based on Hilbert-Huang Transformation

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Listed:
  • Xingfang Huang
  • Lianqian Yin

Abstract

The Hilbert-Huang Transform(HHT) algorithm which proposed in recent years escape itself from the requirement of linear and smooth, and it has a clear physical meaning. The data comes from the Shanghai Composite stock index which is decomposed by HHT. It consists of two parts, the first part is empirical mode decomposition(EMD)，the second part is the Hilbert Spectrum. Firstly it gives all Intrinsic Mode Function (IMF) which is decomposed from EMD an interpretation of its physical meaning and introduces the concept of average oscillation cycle and compared the speed of between typical rise and fall times of volatility. On one hand, reconstruct the IMF and estimate its distribution for the purpose of drawing the best characterization cycle of all reconstructed IMF. On the other hand, calculate the average oscillation cycle of the treated IMF and finally derive the quantitative relationship between the two kinds of cycles. At last, to find the curve fits well with the envelope line of each IMF which has been transformed by Hilbert function.  JEL classification numbers: C6 G17

Suggested Citation

  • Xingfang Huang & Lianqian Yin, 2018. "The Research of the Periodic Features of Stock Index Volatility based on Hilbert-Huang Transformation," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 8(1), pages 1-1.
    • Handle: RePEc:spt:apfiba:v:8:y:2018:i:1:f:8_1_1
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    References listed on IDEAS

    as
    1. S. James Press, 1967. "A Compound Events Model for Security Prices," The Journal of Business, University of Chicago Press, vol. 40, pages 317-317.
    2. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
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    More about this item

    Keywords

    Hilbert-Huang algorithm; EMD; IMF; average oscillation cycle; volatility.;
    All these keywords.

    JEL classification:

    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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