Dept. of Economics
Johns Hopkins University
Baltimore, MD 21218
Institutional Affiliation: Johns Hopkins University
NBER Working Papers and Publications
|October 2000||The Distribution of Stock Return Volatility|
with Torben G. Andersen, Tim Bollerslev, Francis X. Diebold: w7933
We exploit direct model-free measures of daily equity return volatility and correlation obtained from high-frequency intraday transaction prices on individual stocks in the Dow Jones Industrial Average over a five-year period to confirm, solidify and extend existing characterizations of stock return volatility and correlation. We find that the unconditional distributions of the variances and covariances for all thirty stocks are leptokurtic and highly skewed to the right, while the logarithmic standard deviations and correlations all appear approximately Gaussian. Moreover, the distributions of the returns scaled by the realized standard deviations are also Gaussian. Consistent with our documentation of remarkably precise scaling laws under temporal aggregation, the realized logarithmic s...
Published: Andersen, Torben G., Tim Bollerslev, Francis X. Diebold and Heiko Ebens. "The Distribution Of Realized Stock Return Volatility," Journal of Financial Economics, 2001, v61(1,Jul), 43-76.