As part of my postgraduate course, my supervisor has selected the topic on measuring realized volatility.Question is, is realized volatility a "popular topic" in the Quant industry? By that, are IBs and Prop Trading firms interested in this area of topic?

volatility swaps

"GARCH and Volatility Swaps" by A Javaheri, P Wilmott, E G Haugand ou may also find relevant material in the book "Volatility trading" by E.Sinclair

Thanks for the input fellas.On the ther hand theres a topic with another supervisor in regards to extreme value theory and its application in regards to predicting catastrophic events arising in the markets.In comparison of this subject and the other one i mentioned previously. Which one do you think is "better"? Like in terms of "whooing" prospective employers and add better leverage for position as a quant?

EVT might be good for risk modelling perspective, i.e. things like fat tails for risk capitals. It got kinda fashionable after Basel 2.5.

thanks again for your reply. i forgot to mention earlier that I basically want to write a thesis so I can put it in my resumes to enhance my employability and credentials so hence is the topic of realized volatility worthy of consideration?can anyone recommend any good topics to write about involving realized volatility in regards to my thesis?

Here's one -- I will even give you a title:"Implementing Foster & Neslon's 'Continuous Record Asymptotics for Rolling Sample Variance Estimators*' "(* Econometrica, 64, 1996)

thanks bud! there's another area I came across which is something called the realized rangeinputs?

1. Is this for a Masters or PhD? 2. The 'realized range' is a good example of what you should try for.By that, I mean the following. Suppose no one had thought of using therange as an alternative volatility estimator. Then, doing so would be a greatthesis for you. (Now, of course, that particular idea has a big literature).But, you get the idea.

QuoteOriginally posted by: Alan1. Is this for a Masters or PhD? 2. The 'realized range' is a good example of what you should try for.By that, I mean the following. Suppose no one had thought of using therange as an alternative volatility estimator. Then, doing so would be a greatthesis for you. (Now, of course, that particular idea has a big literature).But, you get the idea.thanks again for your reply 1. masters- MPhil2. hmmm dont really uderstand what you are try to convey especially the`big literature' because there is not a lot of stuff regarding the range compared to the realized volatility. are you suggesting the useof the range and implementing it in the garch models?

You're welcome.I was trying to give you an idea of what would constitute 'novelty'.

Some time ago Mark Garman did some stuff on historical vol estimators that use high and low prices as well closing prices, might be interesting to you.Apart from the things pointed out by the others, I can also tell you that certain kinds of asset mix decisions in managed money, certain insurance investment products and even strucured notes can depend on realized volatility.The meaning of and how to measure volatility in the high speed trading environment might be the most profitable slant on this topic, imho.Good luck!