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Volatility distribution in the S&P500 Stock Index

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

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 $\alpha\cong0.9$.

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  • Pierre Cizeau & Yanhui Liu & Martin Meyer & C. -K. Peng & H. Eugene Stanley, 1997. "Volatility distribution in the S&P500 Stock Index," Papers cond-mat/9708143, arXiv.org.
    • Handle: RePEc:arx:papers:cond-mat/9708143
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