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.
@article{arxiv.cond-mat/9708143,
title = {Volatility distribution in the S&P500 Stock Index},
author = {Pierre Cizeau and Yanhui Liu and Martin Meyer and C. -K. Peng and H. Eugene Stanley},
journal= {arXiv preprint arXiv:cond-mat/9708143},
year = {2015}
}