Artigo Acesso aberto Revisado por pares

The distribution of realized stock return volatility

2001; Elsevier BV; Volume: 61; Issue: 1 Linguagem: Inglês

10.1016/s0304-405x(01)00055-1

ISSN

1879-2774

Autores

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

Tópico(s)

Market Dynamics and Volatility

Resumo

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.

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