Early warning of large volatilities based on recurrence interval analysis in Chinese stock markets
Early warning of large volatilities based on recurrence interval analysis in Chinese stock markets
Forecasting extreme volatility is a central issue in financial risk management. We present a large volatility predicting method based on the distribution of recurrence intervals between successive volatilities exceeding a certain threshold Q, which has a one-to-one correspondence with the expected recurrence time . We find that the recurrence intervals …