volatility of intraday (minute data)
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Hi there,
I was wondering on how to calculate the volatility on 1 day prices which are minute by minute? If anybody could help me I would appreciate it.
Reason why I want to know as I want to check during the day graphically the most volatile times.
Best,
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Oleg Komarov
2011년 8월 25일
You can use relized measure with high frequency intraday data: http://realized.oxford-man.ox.ac.uk/data/documentation/econometric-methods.
And here'r the link to the free toolbox that implements realised measures: http://www.kevinsheppard.com/wiki/MFE_Toolbox
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Oleg Komarov
2011년 8월 25일
Basically the folder Realized contains the functions that you will need to compute realized measures.
realized_variance is the function that computes the realized variance but all you need in your case, with data already calendar time sampled at the one minute is to calculate the sum(logreturns^2) = RV1m.
추가 답변 (2개)
Trung Hieu Le
2016년 4월 3일
I also need to calculate the volatility on 1 day prices which are minute by minute? However, I cannot access to the above links. Could you please send me the code by email? Thanks in advance for your help.
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