  We investigate the historical volatility of the 100 most capitalized stocks
traded in US equity markets. An empirical probability density function (pdf) of
volatility is obtained and compared with the theoretical predictions of a
lognormal model and of the Hull and White model. The lognormal model well
describes the pdf in the region of low values of volatility whereas the Hull
and White model better approximates the empirical pdf for large values of
volatility. Both models fails in describing the empirical pdf over a moderately
large volatility range.
