The distribution of realized stock return volatility

• 成果类型: Article
• 署名作者: Andersen, TG; Bollerslev, T; Diebold, FX; Ebens, H
• 署名单位: University of Pennsylvania; Johns Hopkins University; Duke University; Northwestern University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(01)00055-1
• 发表日期: 2001
• 页码: 43-76
• 关键词: INTEGRATED VOLATILITY; correlation; EQUITY MARKETS; high-frequency data; long memory

摘要

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. Pie 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. (C) 2001 EIsevier Science S.A. All rights reserved.