
Lagged correlation for the volatility 


The lagged correlation for the volatility. The volatilities are computed over 3 time horizons, roughly corresponding to 1 hour, 1 day and 1 week.
The same statistics are displayed in linlin, linlog and loglog scales.
The slow decay of the lagged correlation is clearly visible. The loglog plot (third graph) shows that the lagged correlation is correctly described by a power law, but with a faster decay for time horizons above 1 month. Yet, the linlog graph (second graph) indicates that a decrease according to the logarithm of the lag provides for a better explanation of the empirical behavior. 
Lagged correlation for the logarithm of the volatility 


The lagged correlation for the logarithm of the volatility for 3 time horizons.
The same data are represented in linlin, linlog and loglog scales.
The same slow decay of the correlation is also clearly visible. 