The Distributional Properties of Realized Volatility: Evidence from the Stock Market of China

In this paper, we study the distributional properties of returns and volatility in the stock market Of China and their implications for asset allocation, risk management and asset pricing. In particular, the focus is on realized volatility estimated from high frequency intraday returns and returns standardized by realized volatility. Returns standardized by realized volatility are approximately normal as is logarithmic realized volatility. Based on high frequency data analysis, we find that logarithmic realized volatility in the stock market of China is less approximately normal and is noisy, so stock market of china is lack of stead, and volatility is active. risk is big.