The links below provide supplementary figures for the paper Stocks in the Short Run, which is
available under Papers
Available Online. These pdf files give daily plots of the square
root of realized volatility, computed in 5-minute increments, for
every stock in the Dow Jones Industrial Average and for SPY (the
exchange-traded fund that tracks the S&P 500) for every trading day
from the start of decimal pricing early in 2001 though the end of
2009. Two versions of these plots are provided, one imposing a fixed
scale for the vertical axis and the second allowing the scale to vary
from day to day. We recommend the fixed scale version.
A sample of the fixed-scale plots appear as Figure 10 in our paper (3
successive trading days in July 2008 for Alcoa). Pdf files for some
other figures in our paper will be added to the website later.
Square Root of Realized Volatility (Fixed Scale)
Square Root of Realized Volatility (Variable Scale)