Abstract
We investigate the probability distribution of the return intervals τ between successive 1-min volatilities of two Chinese indices exceeding a certain threshold q. The Kolmogorov-Smirnov (KS) tests show that the two indices exhibit multiscaling behavior in the distribution of τ, which follows a stretched exponential form fq(τ/⟨τ⟩)∼e−(aτ/⟨τ⟩)γ with different correlation exponent γ for different threshold q, where ⟨τ⟩ is the mean return interval corresponding to a certain value of q. An extended self-similarity analysis of the moments provides further evidence of multiscaling in the return intervals. Our results can be viewed as a support to the recent finding of Wang et al. (Phys. Rev. E, 77 (2008) 016109) that the volatility return intervals of stocks exhibit multiscaling behavior.