Volatility distribution in the S&P500 Stock Index

Details Volatility distribution in the S&P500 Stock Index Volatility distribution in the S&P500 Stock Index

1997-08-19

arxiv.org/abs/cond-mat/9708143v1

Physics

Condensed Matter

Statistical Mechanics

6 pages, 5 figures

Scientific paper

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 $\alpha\cong0.9$.

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