Volatility distribution in the S&P500 Stock Index
arXiv:cond-mat/9708143 · doi:10.1016/S0378-4371(97)00417-2
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 .
6 pages, 5 figures