Timeline for Estimating historical volatility from inconsistent time intervals
Current License: CC BY-SA 4.0
2 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Sep 29 at 9:44 | comment | added | Xerium | Why must the time intervals be nonrandom? For example, if you wanted to measure the rolling variance of the past 5 minutes of tick days. As a tick comes in, why can you use the updated tick and previous 5 mins of samples and then use that formula…? If they were random, would you need to use a stochastic model because now $T_{j+1}$ is a stopping time? | |
| May 6, 2022 at 7:23 | history | answered | nbbo2 | CC BY-SA 4.0 |