Realized Kernel
The realized kernel (RK) is an estimator of volatility. The estimator is typically computed with high frequency return data, such as second-by-second returns. Unlike the realized variance 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. ..., the realized kernel is a robust estimator of volatility, in the sense that the realized kernel estimates the appropriate volatility quantity, even when the returns are contaminated with noise. Notes {{Reflist Mathematical finance ...
[...More Info...]       [...Related Items...]     OR:     [Wikipedia]   [Google]   [Baidu]  

Realized Variance
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 volatility which is useful for many purposes, including volatility forecasting and forecast evaluation. Related quantities Unlike the variance the realized variance is a random quantity. The realized volatility is the square root of the realized variance, or the square root of the RV multiplied by a suitable constant to bring the measure of volatility to an annualized scale. For instance, if the RV is computed as the sum of squared daily returns for some month, then an annualized realized volatility is given by \sqrt. Properties under ideal co ...
[...More Info...]       [...Related Items...]     OR:     [Wikipedia]   [Google]   [Baidu]