Realized Variance and Intraday HAR
rudinable
I understand this is quite a simple question, but I'd like to make it rigorous for myself because I've seen it in a few varied contexts and haven't completely gotten it somehow. I'm starting an academic project, so I need to make it concrete. I haven't found any papers which really describe this basic detail, any links would be appreciated. How do I get the units for realized variance? I.e. after calculating realized variance, how do I interpret that figure? Suppose I plug it into a model (like