intraday volatility
On 10/28/2010 08:06 AM, Andres Susrud wrote:
I have a question regarding calculating the intraday volatility. I have a dataset that is sub minute, and about 2-3k long. The normal calculation would be sigma = sd(diff(log(data))) but when producing a GBM w.o drift, the process is way out of scale of what I would expect. any comments? or hints for calculating the intraday vol. adjusted for my timescale?
What you see is typical for high frequency data. See the package 'realized' and the references therein for more information on the literature regarding volatility calculations on high frequency data. Regards, - Brian
Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock