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Realized Volatility

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The New Palgrave Dictionary of Economics

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Abstract

Realized volatility is a fully nonparametric approach to ex post measurement of the actual realized return variation over a specific trading period. It encompasses specific empirical procedures and an associated continuous-record asymptotic theory for arbitrage-free jump diffusions. It provides the ideal model-free benchmark for volatility model performance evaluation, and it has numerous natural areas of application within financial economics.

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    Torben G. Andersen

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Andersen, T.G. (2018). Realized Volatility. In: The New Palgrave Dictionary of Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-349-95189-5_2648

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