The distribution of realized stock return volatility

Published

Journal Article

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.

Full Text

Duke Authors

Cited Authors

  • Andersen, TG; Bollerslev, T; Diebold, FX; Ebens, H

Published Date

  • July 1, 2001

Published In

Volume / Issue

  • 61 / 1

Start / End Page

  • 43 - 76

International Standard Serial Number (ISSN)

  • 0304-405X

Digital Object Identifier (DOI)

  • 10.1016/S0304-405X(01)00055-1

Citation Source

  • Scopus