What is "s", volatility of volatility??

S

siddu_456

New Member
#1
#1
I have read about this in one reasearch paper where Maximum likelihood estimate and Two scale realised volatility have been calculated based on s, as a parameter. For a given data, volatility can be found. But how can it and this "S" be used as parameter for estimation. pls help....
 
B

blitzkreig

New Member
#2
#2
siddu_456 said:
I have read about this in one reasearch paper where Maximum likelihood estimate and Two scale realised volatility have been calculated based on s, as a parameter. For a given data, volatility can be found. But how can it and this "S" be used as parameter for estimation. pls help....
Click to expand...
I could n't get the query. Can you give reference to that research paper ??
 
V

vijayvaliya

Active Member
#3
#3
siddu_456 said:
I have read about this in one reasearch paper where Maximum likelihood estimate and Two scale realised volatility have been calculated based on s, as a parameter. For a given data, volatility can be found. But how can it and this "S" be used as parameter for estimation. pls help....
Click to expand...
Sidhu,

s stands for the sample volatility, and S for the volatility of population, which can never be computed. so the population volatility is estimated using sample statistic.
 
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