Jul-06-2018, 02:19 PM
I would like to compute daily realized variance given 5 minutes price/level and return, and daily probability distribution on the return data ignored the overnight return. More specifically, I would like to compute variance premium given realized variance and VIX, and also the ambiguity index(the probability distribution I need) computed by Brenner and Izhakian.
Thank you for all of your kindly help.
Thank you for all of your kindly help.