Volatility distribution in the S&P500 Stock Index

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

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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 $\alpha\cong0.9$.

Date: 1997-08
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Citations: View citations in EconPapers (44)

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