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Volatility distribution in the S&P500 stock index

Author

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

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.

Suggested Citation

  • Cizeau, Pierre & Liu, Yanhui & Meyer, Martin & Peng, C.-K. & Eugene Stanley, H., 1997. "Volatility distribution in the S&P500 stock index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 245(3), pages 441-445.
    • Handle: RePEc:eee:phsmap:v:245:y:1997:i:3:p:441-445
    DOI: 10.1016/S0378-4371(97)00417-2
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    References listed on IDEAS

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    1. Stanley, H.E. & Buldyrev, S.V. & Goldberger, A.L. & Goldberger, Z.D. & Havlin, S. & Mantegna, R.N. & Ossadnik, S.M. & Peng, C.-K. & Simons, M., 1994. "Statistical mechanics in biology: how ubiquitous are long-range correlations?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 205(1), pages 214-253.
    2. Dacorogna, Michael M. & Muller, Ulrich A. & Nagler, Robert J. & Olsen, Richard B. & Pictet, Olivier V., 1993. "A geographical model for the daily and weekly seasonal volatility in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 12(4), pages 413-438, August.
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    More about this item

    Keywords

    Finance; Volatility; S&P500; Multiplicative processes;
    All these keywords.

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