Volatility distribution in the S&P500 stock index

Pierre Cizeau, Yanhui Liu, Martin Meyer, C.-K. Peng and H. Eugene Stanley

Physica A: Statistical Mechanics and its Applications, 1997, vol. 245, issue 3, 441-445

Abstract: 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.

Keywords: Finance; Volatility; S&P500; Multiplicative processes (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (46)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:245:y:1997:i:3:p:441-445

DOI: 10.1016/S0378-4371(97)00417-2

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