Suppose That a Researcher Wanted to Obtain an Estimate of Realised

Multiple Choice

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

A) The price range (high minus low) on that day
B) The squared return on that day
C) The sum of the squares of hourly returns on that day
D) The squared return on the previous day