Cotter, JohnJohnCotter2009-12-082009-12-08Money Macr2003http://hdl.handle.net/10197/1692Paper presented at Money Macro and Finance Research Group 35th Annual Conference (MMF 2003), September 10-12 2003, University of CambridgeKey to the imposition of appropriate minimum capital requirements on a daily basis requires accurate volatility estimation. Here, measures are presented based on discrete estimation of aggregated high frequency UK futures realisations underpinned by a continuous time framework. Squared and absolute returns are incorporated into the measurement process so as to rely on the quadratic variation of a diffusion process and be robust in the presence of fat tails. The realized volatility estimates incorporate the long memory property. The dynamics of the volatility variable are adequately captured. Resulting rescaled returns are applied to minimum capital requirement calculations.4304 bytesapplication/pdfenCapitalFutures--Great BritainFutures--Econometric modelsConference Publicationhttps://creativecommons.org/licenses/by-nc-sa/1.0/