The paper examines the realized daily equity return volatilities and correlations derived from high-frequency intraday transaction prices of individual stocks in the Dow Jones Industrial Average (DJIA). The authors find that the unconditional distributions of realized variances and covariances are highly right-skewed, while the realized logarithmic standard deviations and correlations are approximately Gaussian. The distributions of returns scaled by realized standard deviations are also approximately normal. Realized volatilities and correlations exhibit strong temporal dependence and are well described by long-memory processes. There is evidence that realized volatilities and correlations move together, consistent with a latent factor structure. The findings have implications for asset pricing, portfolio selection, and risk management, suggesting the need for improved volatility models and out-of-sample forecasts.The paper examines the realized daily equity return volatilities and correlations derived from high-frequency intraday transaction prices of individual stocks in the Dow Jones Industrial Average (DJIA). The authors find that the unconditional distributions of realized variances and covariances are highly right-skewed, while the realized logarithmic standard deviations and correlations are approximately Gaussian. The distributions of returns scaled by realized standard deviations are also approximately normal. Realized volatilities and correlations exhibit strong temporal dependence and are well described by long-memory processes. There is evidence that realized volatilities and correlations move together, consistent with a latent factor structure. The findings have implications for asset pricing, portfolio selection, and risk management, suggesting the need for improved volatility models and out-of-sample forecasts.