search for: p22201

...nute sampling interval. The average of these 300 estimates is the low frequency volatility. If P1,P2,...P301,P302,...P22500 are the prices at each timestamp, then we are effectively doing the below (using simple returns for illustration only): (P301/P1)^2 + (P601/P301)^2 + (P901/P601)^2 + .... + (P22201/P21901)^2 = V1 (P302/P2)^2 + (P602/P302)^2 + (P902/P602)^2 + .... + (P22202/P21902)^2 = V2 (P303/P3)^2 + (P603/P303)^2 + (P903/P603)^2 + .... + (P22203/P21903)^2 = V3 .... .... .... (P600/P300)^2 + (P900/P600)^2 + (P1200/P900)^2 + .... + (P22500/P22200)^2 = V300 Then we average the Vi's (V1...