The Distribution of Realized Stock Return Volatility, Journal of Financial Economics

Abstract

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.

Type

Article

Author(s)

Torben Andersen, Tim Bollerslev, Francis X Diebold, Heiko Ebens

Date Published

2001

Citations

Andersen, Torben, Tim Bollerslev, Francis X Diebold, and Heiko Ebens. 2001. The Distribution of Realized Stock Return Volatility. Journal of Financial Economics. 61(1): 43-76.

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