x be the
closeBid price of EUR/USD, sampled every 5 minutes during year 2015 (historical data). This is the variation (is it correct to call it 5-minutes returns?) for each 5-minutes period:
r = x[1:] / x[:-1] - 1
What's the formula to have the (moving) volatility over 1 year?
I tried this way:
rolling_stddev(r, 288*10) # 10 days, since 288 periods of 5 minutes in 1 day
The results is:
Is it a correct measure of volatility? (i.e. standard deviation of the returns)