Research on the relationship between the multifractality and long memory of realized volatility in the SSECI

► We research the multifractality of the RV and RBV series in the SSECI. ► The volatility series have significant multifractal properties. ► The long memory and the fat-tailed distribution are the two sources of multifractality. ► The long memory weakens when sampling intervals increase. ► The strength of multifractality is insensitive to the sampling frequency.