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Given an estimation procedure and real data, how would one compute the mean squared error? What value represents the "true" realized volatility in the case of calculating the Mean Squared Error in estimation? I'm specifically interested in intraday estimation error (one minute trade data for example)?

So for example:

1. I want to estimate the realized volatility statistic on 1 day's worth of real 1 minute data
2. I'm going to use block bootstrapping as my estimation procedure
3. I run the block bootstrapping estimation algorithm and get an estimated realized volatility value
4. To compute the estimation error, I need a true realized volatility value for this 1 day of 1 minute data.

What can I use for this "true" realized volatility value for the specific data that I am estimating from?

Given an estimation procedure and real data, how would one compute the mean squared error? What value represents the "true" realized volatility in the case of calculating the Mean Squared Error in estimation? I'm specifically interested in intraday estimation error (one minute trade data for example)?

So for example:

1. I want to estimate the realized volatility statistic on 1 day's worth of real 1 minute data

2. I'm going to use block bootstrapping as my estimation procedure

3. I run the block bootstrapping estimation algorithm and get an estimated realized volatility value

4. To compute the estimation error, I need a true realized volatility value for this 1 day of 1 minute data.

What can I use for this "true" realized volatility value for the specific data that I am estimating from?

Given an estimation procedure and real data, how would one compute the mean squared error? What value represents the "true" realized volatility in the case of calculating the Mean Squared Error in estimation? I'm specifically interested in intraday estimation error (one minute trade data for example)?

Would it be incorrect to take a sequential 252 day period of intraday values to calculate the "true" realized volatility and compute the error against an estimate over a much smaller subset of these 252 days?

Given an estimation procedure and real data, how would one compute the mean squared error? What value represents the "true" realized volatility in the case of calculating the Mean Squared Error in estimation? I'm specifically interested in intraday estimation error (one minute trade data for example)?

So for example:

1. I want to estimate the realized volatility statistic on 1 day's worth of real 1 minute data
2. I'm going to use block bootstrapping as my estimation procedure
3. I run the block bootstrapping estimation algorithm and get an estimated realized volatility value
4. To compute the estimation error, I need a true realized volatility value for this 1 day of 1 minute data.

What can I use for this "true" realized volatility value for the specific data that I am estimating from?