Realized Volatility

由 TG Andersen 著作 · 2008 · 被引用 243 次 — Realized volatility is a nonparametric ex-post estimate of the return variation. The most obvious realized volatility measure is the sum of ...

由 OE Barndorff-Nielsen 著作 · 2002 · 被引用 2734 次 — Summary. The availability of intraday data on the prices of speculative assets means that we can use quadratic variation-like measures of activity in ...

2022年6月11日 — “The most common method used to estimate the historical volatility is the close-to-close method. In this approach, the historical volatility is ...

由 TG Andersen 著作 · 被引用 243 次 — Realized volatility is a nonparametric ex-post estimate of the return variation. The most obvious realized volatility measure is the sum of finely-sampled.

由 TG Andersen 著作 · 2008 · 被引用 243 次 — Realized volatility is a nonparametric ex-post estimate of the return variation. The most obvious realized volatility measure is the sum of finely-sampled.

Realized variance or realised variance (RV, see spelling differences) is the sum of squared returns. For instance the RV can be the sum of squared daily ...

Realized volatility assesses variation in returns for an investment product by analyzing its historical returns within a defined period.

While the implied volatility refers to the market's assessment of future volatility, the realized volatility measures what actually happened in the past. The ...