volatility of intraday (minute data)

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,

[nan hu]

Doing subsampling by every 5 mins

Answer 1

[Oleg Komarov]

You can use relized measure with high frequency intraday data: http://realized.oxford-man.ox.ac.uk/data/documentation/econometric-methods.

Here's a list of related literature: http://realized.oxford-man.ox.ac.uk/research/literature

And here'r the link to the free toolbox that implements realised measures: http://www.kevinsheppard.com/wiki/MFE_Toolbox

[Mate 2u]

Hi Oleg,

This looks interesting. There seems to be many ways to calculate the realized volatilities. Which method do you think would be best for 1 minute data which, if you have experience?

Best,

[Oleg Komarov]

According to Patton and Sheppard (2009) IJF, the realised variance at the 1 minute interval places second out of 32 estimators.

[Mate 2u]

Thats for your help Oleg. Is the Patton and Sheppard code within the toolbox you gave me? Best wishes,

[Oleg Komarov]

Yes.

Comments are fine, no need to create multiple answers, harder to follow.

[Mate 2u]

Oh sorry! I will just comment. Thanks for all your help. I am looking at the toolbox now, could you please refer me to the function? That would be my last request? Best wishes.

[Oleg Komarov]

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.

[Mate 2u]

Hi Oleg I sent you a email.

Answer 2

[Mate 2u]

Hi Oleg,

This looks interesting. There seems to be many ways to calculate the realized volatilities. Which method do you think would be best for 1 minute data which, if you have experience?

Best,

Answer 3

[Trung Hieu Le]

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.