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)