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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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    More about this item

    Keywords

    Finance; Volatility; S&P500; Multiplicative processes;
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