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Hi allI am getting confused by the variance swap rate in my risk management courseMy lecturer gave us a formula for variance swap rate last week, that is the Raw Return Realized VarianceAnd he gave us the daily closing prices for the three index variances the V1X Index from Germany, the V2X Index from the European index and the INVIX Index which is the India volatility index.I just don't know how to calculate the variance swap rate using these three volatility indexes...In the formula of RRRV, it is trying to sum the squared returns every second within one day, but the data we got are all daily closing prices...Could someone please give me some ideas on this?Thanks!

You obviously can't compute a per-second variance with only daily close prices. I suspect you are supposed to compute the daily variance.

Since you only have the daily closing prices (and hence returns) you can only compute the realized daily variance.