Multifractal analysis of realized range-based volatility in Shanghai Stock Exchange Composite Index

We investigate the multifractal character of the realized range-based volatility (RRV) in Shanghai Stock Exchange Composite Index. Through the partition function approach, we estimate the Renyi exponent and the singular spectrum, it has been found that the RRV series have significant multifractal properities. By introducing the shuffled and the surrogate series, we find that the long range temporal correlations and the fat-taile variations of volatility series are two sources of multifractality.