Study on Realized Volatility and its application in China's stock market

Volatility is one of the most important risk factor and is of great importance for risk management and asset pricing. The recent widespread availability of databases providing the intraday prices of financial assets has led to new developments in the modeling of volatility. As a result, the realized volatility is put forward, which is based on intraday information and a non-parametric measure of volatility. In this paper, we study the realized volatility, its property, and its optimal sampling frequency. In addition, we use ARFIMA model to model it. We do the empirical research with the data from the Chinese stock market.