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Figures index

• pdf

  • Probability density for the return, in linear-linear scales
  • Probability density for the return, in linear-logarithmic scales
  • Probability density for the return, in log-log scales, for the positive returns
  • Probability density for the volatility, in lin-lin scales
  • Probability density for the volatility, in lin-log scales
  • Probability density for the volatility, in log-log scales
  • Probability density for the volatility increment, in lin-log scales
  • Probability density asymmetry for the volatility increment

• Moment for the pdf

  • Normalized moments of the return
  • Normalized moments of the volatility
  • Normalized moments of the volatility increment

• Relative excess kurtosis

  • Relative excess kurtosis for the return
  • Relative excess kurtosis for the volatility
  • Relative excess kurtosis for the volatility increment

• Lagged correlations for the return

  • Lagged correlation for the absolute value of the return (lin-lin scales)
  • Lagged correlation for the absolute value of the return (log-log scales)
  • Lagged correlation for the square of the return (lin-lin scales)
  • Lagged correlation for the square of the return (log-log scales)
  • Lagged 1 correlation for different exponents

• Lagged correlations for the volatility

  • Lagged correlation for the volatility (lin-lin scales)
  • Lagged correlation for the volatility (lin-log scales)
  • Lagged correlation for the volatility (log-log scales)
  • Lagged correlation for the logarithm of the volatility (lin-lin scales)
  • Lagged correlation for the logarithm of the volatility (lin-log scales)
  • Lagged correlation for the logarithm of the volatility (log-log scales)

• Correlation with the realized volatility

  • Correlations of the volatilities
  • Correlations between the historical and realized volatilities
  • Asymmetry of the correlations between the historical and realized volatilities
  • Correlations of the realized volatilities with the historical volatility increment
  • Correlations of the realized volatilities with the centered volatility increment

• Correlation for the volatility increment

  • Correlation for the volatility increments
  • Correlation between the historical and centered volatility increment
  • Correlation between the volatility increment and the historical volatility

• Trend and leverage effect

  • Correlation between the realized volatility and the historical return
  • Correlation between the realized volatility and the trend term

• Volatility graining

  • Lagged correlation between fine and coarse grained volatility
  • Asymmetry for the lagged correlation between fine and coarse grained volatility

• Volatility increment conditional on the historical volatility

  • Conditional average of the centered volatility increment, conditional on the historical volatilit
  • Conditional correlation between the centered volatility increment and the historical volatility, conditional on the historical volatility