Compute daily, weekly, and monthly realized variance from a series of log returns. Annualize using the appropriate multiplier (252 trading days). Compare to implied variance for variance risk premium.
Compute daily, weekly, and monthly realized variance from a series of log returns. Annualize using the appropriate multiplier (252 trading days). Compare to implied variance for variance risk premium
Each component has a specific meaning:
Note: Interpret the realized variance daily result against the thresholds and context described above.
Enter the series of log returns for the scenario you are assessing. Compute daily, weekly, and monthly realized variance from a series of log returns. Annualize using the appropriate multiplier (252 trading days). Compare to implied variance for variance risk premium. Use the realized variance daily result to inform your calculation.