<t>I would like to know how people calculate intraday volatility for equity markets? Unlike FX that opens 24 hours, equity markets close everyday. So there is an over-night jump in the price between the open and last evening's close. If one uses 5-min interval for variance calculation intraday, how ...

I am just curious, in the industry (particularly statistical arbitrage areas), which software package is more commonly use, S-Plus, MATLAB or another? Thanks.

How do I factor dividend yields into pricing variance swaps. I can't find any paper on that.

<t>In time series, an AR(1) process stationary if the coefficient alpha lies inside the unit circle (in other words, absolute value of alpha is less than 1). In Dickey Fuller test for stationarity, they look at t-statistics (one-sided) on the beta coefficient of the regression to make sure it is sig...