Abstract
We analyze the realized volatility of stocks traded on the Tokyo Stock Exchange using 5-min high-frequency stock prices. We find that the distributions of stock returns standardized by the realized volatility are consistent with Gaussian distributions which enable us to view the system in superstatistics. Our results suggest that the distributions of the realized volatility are explained with inverse gamma distributions.
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Takaishi, T. Analysis of Realized Volatility in Superstatistics. Evolut Inst Econ Rev 7, 89–99 (2010). https://doi.org/10.14441/eier.7.89
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DOI: https://doi.org/10.14441/eier.7.89