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The distribution of realized stock return volatility

Publication ,  Journal Article
Andersen, TG; Bollerslev, T; Diebold, FX; Ebens, H
Published in: Journal of Financial Economics
July 1, 2001

We examine "realized" daily equity return volatilities and correlations obtained from high-frequency intraday transaction prices on individual stocks in the Dow Jones Industrial Average. We find that the unconditional distributions of realized variances and covariances are highly right-skewed, while the realized logarithmic standard deviations and correlations are approximately Gaussian, as are the distributions of the returns scaled by realized standard deviations. Realized volatilities and correlations show strong temporal dependence and appear to be well described by long-memory processes. Finally, there is strong evidence that realized volatilities and correlations move together in a manner broadly consistent with latent factor structure. © 2001 Elsevier Science S.A.

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Published In

Journal of Financial Economics

DOI

ISSN

0304-405X

Publication Date

July 1, 2001

Volume

61

Issue

1

Start / End Page

43 / 76

Related Subject Headings

  • Finance
  • 3801 Applied economics
  • 3502 Banking, finance and investment
  • 1606 Political Science
  • 1502 Banking, Finance and Investment
  • 1402 Applied Economics
 

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Andersen, T. G., Bollerslev, T., Diebold, F. X., & Ebens, H. (2001). The distribution of realized stock return volatility. Journal of Financial Economics, 61(1), 43–76. https://doi.org/10.1016/S0304-405X(01)00055-1
Andersen, T. G., T. Bollerslev, F. X. Diebold, and H. Ebens. “The distribution of realized stock return volatility.” Journal of Financial Economics 61, no. 1 (July 1, 2001): 43–76. https://doi.org/10.1016/S0304-405X(01)00055-1.
Andersen TG, Bollerslev T, Diebold FX, Ebens H. The distribution of realized stock return volatility. Journal of Financial Economics. 2001 Jul 1;61(1):43–76.
Andersen, T. G., et al. “The distribution of realized stock return volatility.” Journal of Financial Economics, vol. 61, no. 1, July 2001, pp. 43–76. Scopus, doi:10.1016/S0304-405X(01)00055-1.
Andersen TG, Bollerslev T, Diebold FX, Ebens H. The distribution of realized stock return volatility. Journal of Financial Economics. 2001 Jul 1;61(1):43–76.
Journal cover image

Published In

Journal of Financial Economics

DOI

ISSN

0304-405X

Publication Date

July 1, 2001

Volume

61

Issue

1

Start / End Page

43 / 76

Related Subject Headings

  • Finance
  • 3801 Applied economics
  • 3502 Banking, finance and investment
  • 1606 Political Science
  • 1502 Banking, Finance and Investment
  • 1402 Applied Economics