Volatility distribution in the S&P500 stock index

We study the volatility of the S&P500 stock index from 1984 to 1996 and find that the volatility distribution can be very well described by a log-normal function. Further, using detrended fluctuation analysis we show that the volatility is power-law correlated with Hurst exponent α ≌ 0.9.

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Year of publication:	1997
Authors:	Cizeau, Pierre ; Liu, Yanhui ; Meyer, Martin ; Peng, C.-K. ; Eugene Stanley, H.
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 245.1997, 3, p. 441-445
Publisher:	Elsevier
Subject:	Finance \| Volatility \| S&P500 \| Multiplicative processes

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011061882