I would like to compute daily realized variance given 5 minutes price/level and return, and daily probability distribution on the return data ignored the overnight return. More specifically, I would like to compute variance premium given realized variance and VIX, and also the ambiguity index(the probability distribution I need) computed by Brenner and Izhakian.
Where the ambiguity index computation is given in the attached file.
Thank you for all of your kindly help.
Where the ambiguity index computation is given in the attached file.
Thank you for all of your kindly help.
