# Questions tagged [realized]

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### How to properly calcualte Realized Variance for WTI?

I have several realized variances for WTI, RV, scaledRV, RSVN(negative) and RSVP(positive), which were given to me by a professor whom I cant contact anymore. When I try to calculate my own RV (in ...
134 views

### Target Realized Volatility or Realized Variance in Forecasting

There are many academic paper doing volatility forecasts using realised variance and realised volatility interchangeably -- both targeting the proxy estimation of sum of squared returns (realized ...
68 views

### Cross-day realized volatility

I've been looking for papers on volatility forecast, and most of them focus either on daily volatility (often using daily returns to access predictions for monthly volatility). Others focus on ...
• 101
532 views

### Understanding volatility of volatility in realized roughness

In the paper Buy Rough Sell Smooth by Glasserman and He (2018), on page 5 equation (8) they define an estimate of the volatility of volatility ν, by setting $\log(ν)= β_1/2$. I would like to ...
• 2,131
1 vote
82 views

### Compare rich / cheap options on 2 underlyings

this question can turn out to be very basic but its something that has been bugging me. Say I want to buy/sell an option on A vs sell/buy an option on B. Facts I know A and B are different ...
• 11
800 views

### Short the difference between implied volatility and realized volatility of SPX

A professional trader said that the way is not to short VIX or other volatility products, but to short the difference between implied volatility and realized volatility of SPX This has to do with VRP ...
717 views

### Calculating Daily Realized Variance with Non-Constant Sampling

I was able to obtain some tick data on a particular asset and I wanted to calculate the daily realized variance of the asset. After browsing through a few threads here, it seems the formula to ...
• 23
1 vote