Volatility distribution in the S&P500 stock index

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

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 alpha ~ 0.9.