Econometric analysis of realised volatility and its use in estimating Levy based non-Gaussian OU type stochastic volatility models

The availability of intra-day data on the prices of speculative assets means that we can use quadratic variation like measures of activity in financial markets, called realised volatility, to study the stochastic properties of returns. Here we provide a statistical basis for realised volatility and show how it can be used to estimate the parameters of stochastic volatility models. Models covered included those which are based on Levy driven non-Gaussian OU volatility processes, as well as more traditional type models such as constant elasticity of variance processes or superpositions of such processes.