The square root of realized volatility is what much of the literature calls realized volatility. The major difference is that we compute realized volatility in 5-minute increments over the trading day. There are 78 five-minute intervals in the trading day. The scale of the figure for each trading day is fixed at [0,20], as in our paper, except for the fourth quarter of 2008 and the first quarter of 2009. In those quarters the scale is changed to [0,100] to accommodate the rapid escalation of volatility for the stocks most affected by the financial crisis and the Great Recession that followed: for example, AIG, Citibank or GM. For stocks less affected, the scale [0,100] is much too large most of the time. We recommend that you start at the beginning of 2008, working your way thorough the year as the crisis builds and then into 2009, which will help give some perspective on the behavior of the square root of realized volatility in ``normal'' times and under stress. Scrolling rapidly through the pdf will give an animated view of the dynamics of the intraday volatility process.

You will notice that, particularly in the fourth quarter of 2008 and the first quarter of 2009, some of these plots go ``off the charts.'' This is particularly true for the stocks hit most severely by the financial crisis. To see what happened if the process went off the charts, look at the variable-scale version of the figure.

There are 279 pdf files for this figure, one pdf file for each year for each of the 30 stocks and one for the exchange-traded fund. From the table of links, select a year (e.g., 2008) and ticker symbol (e.g., IBM).

Square Root of Realized Volatility : Fixed Scale

Stock	2009	2008	2007	2006	2005	2004	2003	2002	2001
SPY	*	*	*	*	*	*	*	*	*
AA	*	*	*	*	*	*	*	*	*
AIG	*	*	*	*	*	*	*	*	*
AXP	*	*	*	*	*	*	*	*	*
BAC	*	*	*	*	*	*	*	*	*
BA	*	*	*	*	*	*	*	*	*
CAT	*	*	*	*	*	*	*	*	*
CVX	*	*	*	*	*	*	*	*	*
C	*	*	*	*	*	*	*	*	*
KO	*	*	*	*	*	*	*	*	*
DD	*	*	*	*	*	*	*	*	*
DIS	*	*	*	*	*	*	*	*	*
GE	*	*	*	*	*	*	*	*	*
GM	*	*	*	*	*	*	*	*	*
HPQ	*	*	*	*	*	*	*	*	*
HD	*	*	*	*	*	*	*	*	*
INTC	*	*	*	*	*	*	*	*	*
IBM	*	*	*	*	*	*	*	*	*
JNJ	*	*	*	*	*	*	*	*	*
JPM	*	*	*	*	*	*	*	*	*
MCD	*	*	*	*	*	*	*	*	*
MMM	*	*	*	*	*	*	*	*	*
MRK	*	*	*	*	*	*	*	*	*
MSFT	*	*	*	*	*	*	*	*	*
PFE	*	*	*	*	*	*	*	*	*
PG	*	*	*	*	*	*	*	*	*
T	*	*	*	*	*	*	*	*	*
UTX	*	*	*	*	*	*	*	*	*
VZ	*	*	*	*	*	*	*	*	*
WMT	*	*	*	*	*	*	*	*	*
XOM	*	*	*	*	*	*	*	*	*