Weighted realized volatility and its long memory and optimal frequency

Realized volatility is a new measure approach of volatility in high-frequency time series.Realized volatility is model-free and can be computed easily.A more efficient volatility measurement-weighted realized volatility-is put forward,which makes realized volatility become its special case.Through the empirical study on the Shanghai stock market,It is proved that weighted realized volatility is superior to realized volatility.The characteristics of the weighted realized volatility are studied.Optimal frequency is decided based on microstructure error and measure error.