Abstract:In this paper,a new volatility measure,multifractal volatility,is constructed.Base on about 8 years' high-frequency data of SSEC,we choose ARFIMA model as the dynamic model of multifractal volatility and use SPA by Hansen and Lunde(2005)to test the predicting performance of the multifractal model and other popular models,such as,Realized volatility model,GARCH and Stochastic volatility model.The empirical results show that,for some kinds of loss functions,multifractal volatility measure and its ...