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Realized variance or realised variance (RV … Realized variance or realised variance (RV, see spelling differences) is the sum of squared returns. For instance the RV can be the sum of squared daily returns for a particular month, which would yield a measure of price variation over this month. More commonly, the realized variance is computed as the sum of squared intraday returns for a particular day. The realized variance is useful because it provides a relatively accurate measure of volatilitywhich is useful for many purposes, including volatility forecasting and forecast evaluation.ility forecasting and forecast evaluation.
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Realized variance or realised variance (RV … Realized variance or realised variance (RV, see spelling differences) is the sum of squared returns. For instance the RV can be the sum of squared daily returns for a particular month, which would yield a measure of price variation over this month. More commonly, the realized variance is computed as the sum of squared intraday returns for a particular day. The realized variance is useful because it provides a relatively accurate measure of volatilitywhich is useful for many purposes, including volatility forecasting and forecast evaluation.ility forecasting and forecast evaluation.
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| rdfs:label |
Realized variance
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