Fractal Complexity of the Spanish Index IBEX 35

Abstract

We study and compare the reference of the Spanish stock market IBEX 35 with other international indices from consolidated as well as emerging economies. We look for similarities and differences between the Spanish index and the markets chosen, from a self-affine perspective. For it we compute fractal parameters which provide an indication of the erraticity of the data. We perform inference statistical tests, in order to elucidate if the computed parameters are significantly different in the Spanish selective. Beginning from the daily closing values of the IBEX of more than one decade, we investigate the stability in mean and variance, and test the necessity of the transformation of the record in order to improve its normality or stabilize and minimize the deviation. We use appropriate statistical methodologies, as ARIMA and ARCH, to obtain good explicative models of the series considered, and estimate its parameters of interest.