Cizeau, Pierre; Liu, Yanhui; Meyer, Martin; Peng, C. -K.; … - arXiv.org - 1997
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 $\alpha\cong0.9$.