Cizeau, Pierre; Liu, Yanhui; Meyer, Martin; Peng, C.-K.; … - In: Physica A: Statistical Mechanics and its Applications 245 (1997) 3, pp. 441-445
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 ≌ 0.9.