Displaying 1 result from an estimated 1 matches for "p22500".
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d22500
2012 Jun 14
0
Query about TSRV
...servation
from each of the 75 sets. Similarly, 298 additional estimates can be
obtained from the remaining data. Thus, 300 estimates of realized
volatility can be obtained for a 5-minute 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/P30...