Abstract: According to the multifractal theory,a new multifractal volatility measure of financial market, Sα,is presented in this paper. In comparison with conventional volatility measure Δα,Sα uses more statistical information about market volatility characteristics included in multifractal analysis. Empirical research on Chinas stock market shows that Sα provides more accurate measure to market volatility and is closer to real volatility than Δα after appropriate scale adjustment.

Key words: multifractal volatility, real volatility, SPA test