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Realized variance : ウィキペディア英語版
Realized variance
Realized variance or realised variance (RV, see spelling differences) is the sum of squared returns. For instance the RV can be the sum of squared daily returns for a particular month, which would yield a measure of price variation over this month. More commonly, the realized variance is computed as the sum of squared intraday returns for a particular day.
The realized variance is useful because it provides a relatively accurate measure of volatility
which is useful for many purposes, including volatility forecasting and forecast evaluation.
==Related quantities==

Unlike the variance the realized variance is a random quantity.
The realized volatility is the square root of the realized variance, or the square root of the RV multiplied by a suitable constant to bring the measure of volatility to an annualized scale.
For instance, if the RV is computed as the sum of squared daily returns for some month, then an annualized realized volatility is given by \sqrt.

抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)
ウィキペディアで「Realized variance」の詳細全文を読む



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