[R-SIG-Finance] intraday volatility

[Brian G. Peterson]

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