what does the usage of high frequency data do to volatility? Also please characterize high frequency? intraday data points?
because I just took the 2017 mock and it suggested that using daily returns = increased volatility… but I thought I’ve seen in the past that high frequency data smooths results.
high frequency is a relative term…
Typically higher frequency (so to say) will lead to higher volatility of returns. E.g. going from annual to monthly to weekly to daily.
However there was this one question in another mock of high frequency data (daily or intraday) combined with asynchronism (missing values) leading to a lower correlation of returns. But this was specifically related to HFT + asynchronism.
^ thank you, amigo.