Study on the Comparison Between Realized Volatility and Weighted Realized Volatility

Realized volatility is a new measure approach of volatility in high-frequency time series.Realized volatility is model-free and can be computed easily.Weighted realized volatility is a more efficient volatility measurement,which makes realized volatility become its special case.In this paper,we compare realized volatility and weighted realized volatility from four aspects: defnition,bias,efficiency and calendar effect.Through the empirical study on the Shanghai stock market,it proves weighted realized volatility is superior to realized volatility.