I'm trying to calculate 5-day realized volatility (as proxy for integrated volatility) using 5-min frequency data.
I'm working from the paper
I'm able to use
$$
RV_t(h) \equiv \sum_{i=1}^{1/h} r^{(h)2}_{t-1+ih}
$$
with $t = 1$ day and $h=81$ for 81 5-min samples per day
to get the daily realized variance.
In the paper, p.282, footnote 4
For notational simplicity, we focus our discussion on one-period return and volatility measures, but the general results and associated measurement error adjustment extend in a straightforward manner to the multiperiod case
I would be very grateful if someone could point out that straightforward extension to me.
Thanks
Edit
I'm going with the simple approach of adding the variances for 5 days, i.e. $h=81 * 5$
Annualized volatility calculated from this is in the same range as the Yang-Zang & Parkinsons estimators
Any input would still be appreciated.