Abstract
Based on some methods for calculating realized volatility's optimal sampling frequency, we select the minimizing MSE because of its clear idea and easily calculating. Empirical study performed combining Chinese stock market's data, and two conclusions are got. Firstly, the optimal sampling frequencies are different in different trading days for the same stock. Secondly, even though the optimal sampling frequencies are different for different stocks, the distributions of optimal sampling frequencies are same on the whole, i.e. the large parts of optimal sampling frequencies are between 4 and 8 min.
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