Hi,

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?

BR

Andres S. Susrud

	[[alternative HTML version deleted]]

