A theoretical comparison between integrated and realized volatility
从定性和定量角度比较了固定观测频率下已实现波动率测量积分波动率的精度，计算了噪声的均值和方差，并发现即使使用五分钟数据噪声也很大，杠杆效应在实践中不重要。
Abstract In this paper we provide both qualitative and quantitative measures of the precision of measuring integrated volatility by realized volatility for a fixed frequency of observation. We start by characterizing for a general diffusion the difference between realized and integrated volatility for a given frequency of observation. Then we compute the mean and variance of this noise and the correlation between the noise and the integrated volatility in the Eigenfunction Stochastic Volatility model of Meddahi ( 2001a ). This model has as special cases log‐normal, affine and GARCH diffusion models. Using previous empirical results, we show that the noise is substantial compared with the unconditional mean and variance of integrated volatility, even if one employs five‐minute returns. We also propose a simple approach to capture the information about integrated volatility contained in the returns through the leverage effect. We show that in practice, the leverage effect does not matter. Copyright © 2002 John Wiley & Sons, Ltd.