2
$\begingroup$

I am having trouble understanding how to calculate two-time scale variance as I do not have a strong mathematical background. Suppose I want to calculate the TSRV at 5 min intervals. Do I calculate the RV at t = 0,5,10,15min...etc. Then shift the time interval and calculate RV at t = 1,6,11,16min, ....RV at t = 4,9,14,19...and finally take the average of the 5 RVs I have calculated?

$\endgroup$
3
$\begingroup$

Here are the exact steps to calculate TSRV.

I also like this paper.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.