search for: p22203

...mp, 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+V2+....+V300)/300. This gives us the 5 min realized volatility. Please correct me if I've made a mistake somewhere. As I think this was the approach...