Empirical research on China s stock market shows that Sα provides more accurate measure to market volatility and is closer to real volatility than Δα after appropriate scale adjustment.

Empirical study of the value at risk model based on realized volatility;

This paper clarifies the theory background of realized volatility firstly,then some basic conclusions about realized volatility are shown.

This paper clarifies the foreign latest result on realized volatility in detail.

By using intraday high frequency data of Shanghai and Shenzhen stock indices,the paper builds up a realized volatility model and a realized range model based on ABFIMA model and CARR model respectively, which are applied to calculate VaR.

The periodic analysis of realized volatility in china stock market;

The paper extends realized volatility based on high-frequency data to realized covariance matrix based on multivariate highfrequency data,to describe volatility and correlation of multivariate.

An Empirical Research on Jump Behavior of Realized Volatility in Chinese Stock Markets;

Therefore,the real volatility can be estimated by the realized volatility based on the highest frequency in Chinese stocks markets.

While discontinuous jump separated from realized volatility acts as an important element for the yield volatility of short-term interest rate of inter-bank bond market.