Fintwit hive mind: What's the best way to forecast 30-day realized volatility for the S&P 500? Any good review articles of the latest-and-greatest methods? Thx.
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Replying to @goldstein_aa
Compute intraday variance during trading sessions, add variance due to overnight jumps, smooth 20 days, take square root
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Replying to @macrocephalopod @goldstein_aa
Intraday variance would be 1 min returns variance ?
2 replies 0 retweets 0 likes
Replying to @Ankit_Quant @goldstein_aa
I would do 5 or 10 min to avoid microstructure noise but yeah basically
3:06 PM - 19 Mar 2021
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