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If you are familiar with programming (which is required to deal with HF data), I would strongly recommend you to use the "HighFrequency" R package. It includes a lot of procedures to clean HF data and to estimate volatility. You can find here a very good tutorial about the package. If needed you can find here some good tutorials for R. Credits: The ...


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Assuming that we are talking about volatility as the standard deviation of uncorrelated random variables (in this case this would mean no autocorrelation) the variance is additive, which means that we get $\sqrt{.15^2+.2^2}=.25=25\%$. You can illustrate this result by simulation in R: > sd(rnorm(1e7,sd=.15)+rnorm(1e7,sd=.2)) [1] 0.2500001 If you want ...



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