  While the use of volatilities is pervasive throughout finance, our ability to
determine the instantaneous volatility of stocks is nascent. Here, we present a
method for measuring the temporal behavior of stocks, and show that stock
prices for 24 DJIA stocks follow a stochastic process that describes an
efficiently priced stock while using a volatility that changes
deterministically with time. We find that the often observed, abnormally large
kurtoses are due to temporal variations in the volatility. Our method can
resolve changes in volatility and drift of the stocks as fast as a single day
using daily close prices.
