Hi James,
Good afternoon.
Have you worked this problem out ?
I'm facing same problem, but my sample is not under date basis :(.
I have 840 days with 79 prices a day and trying to simulate RV as you were...
Appreciate if you solved the issue and could share.
Search found 2 matches
- Sun Sep 07, 2014 4:21 pm
- Forum: Estimation
- Topic: how to estimate realized volatility using intraday data
- Replies: 10
- Views: 18914
- Sun Sep 07, 2014 8:09 am
- Forum: Programming
- Topic: Averday day with Intraday Data
- Replies: 1
- Views: 3134
Averday day with Intraday Data
Hi Guys, I've some good intraday data and I would like to know if you could help me to see the bellow : I have 840 days with 79 observations per day ( 5 min space). I wanted to see the average day descriptive statistics, for example, if I sample 1-79 i will see how the return and price do in the fir...