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I am about to estimate realized volatility on high frequent stocks. I am aware of the implications of the model (e.g. microstructure etc.) But what I dont know is how I can create an index to estimate realized volatility on:

I have minute data (transaction prices) on individual stocks, but want to add them together into an own index, to estimate the overall volatility of the group of stocks, is that possible? How can i do it?

Regards Simon

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