文档介绍：Financial The Distribution of Stock Return
Volatility
Institutions
Center
by
Torben G. Andersen, Tim Bollerslev, Francis
X. Diebold and Heiko Ebens
00-27
The Wharton Financial Institutions Center
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grant from the Alfred P. Sloan Foundation
The Distribution of Stock Return Volatility*
Torben G. Andersena, Tim Bollerslevb, Francis X. Dieboldc and Heiko Ebensd
December 21, 1999
Abstract
We exploit direct model-free measures of daily equity return volatility and correlation obtained
from high-frequency intraday transaction prices on individual stocks in the Dow Jones Industrial
Average over a five-year period to confirm, solidify and extend existing characterizations of stock
return volatility and correlation We find that the unconditional distributions of the variances and
covariances for all thirty stocks are leptokurtic and highly skewed to the right, while the
logarithmic standard deviations and correlations all appear approximately Gaussian. Moreover,
t