Suppose a researcher is willing to obtain an estimate of realised (actual) volatility. Which of the following is likely to be the most accurate measure of volatility of stock returns for a particular day ?

Select the right answer:

a.

The sum of the squares of hourly returns on that day

b.

The price range (high minus low) on that day

c.

The squared return on that day

d.

None of the options

e.

The squared return on the previous day