So Fama.French.dail$Mkt is my daily Market return.
To calculate the realized Variance over the preceding 126 days, i took the sum of the squared log returns of the past 126 observations. (Using the approach above the value on day 126 includes day 126, so its the preceding value for day 127.) Anyway, How can i annualize them ? Is it times 252 or do i just multiply by 2 since i already summed up half a year?