Question (5) (20 marks)

Select one method to filter conditional volatility. Present and interpret descriptive statistics of conditional volatility of (i) overnight returns, (ii) intraday returns, and (iii) total returns.

(While writing have to follow academic writing style format relying on Journal articles)

Requirement:

1. Select the method to filter conditional volatility.
2. Present descriptive statistics of conditional volatility of three returns.
3. Interpret.