Suppose That a Researcher Wanted to Obtain an Estimate of Realised

question 11

Multiple Choice

Suppose that a researcher wanted to obtain an estimate of realised ("actual") volatility. Which one of the following is likely to be the most accurate measure of volatility of stock returns for a particular day?

• A) The price range (high minus low) on that day
• B) The squared return on that day
• C) The sum of the squares of hourly returns on that day
• D) The squared return on the previous day

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