Volatility distribution in the S&P500 Stock Index

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

arxiv: cond-mat/9708143 · v1 · pith:4JTZGQXTnew · submitted 1997-08-19 · ❄️ cond-mat.stat-mech · q-fin.ST

Volatility distribution in the S&P500 Stock Index

Pierre Cizeau , Yanhui Liu , Martin Meyer , C.-K. Peng , H. Eugene Stanley This is my paper

classification ❄️ cond-mat.stat-mech q-fin.ST

keywords volatilitydistributionindexp500stockalphaanalysiscong0

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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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Volatility distribution in the S&P500 Stock Index

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