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Volatility distribution in the S&P500 Stock Index

Pierre Cizeau·Yanhui Liu·Martin Meyer·C. -K. Peng·H. Eugene Stanley
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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 $α\cong0.9$.

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Pierre Cizeau, Yanhui Liu, Martin Meyer, C. -K. Peng, H. Eugene Stanley. 1997-08-19. Volatility distribution in the S&P500 Stock Index. https://doi.org/10.1016/s0378-4371(97)00417-2

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