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On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting

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Figure

Figure 1: CO 2 futures prices of maturities December 2005 through 2014 from April 22, 2005 to January 16, 2009
Figure 2: Daily realized variance (RV t , left panel), daily realized volatility in standard deviation form (RV t 1/2 , middle panel), and daily realized volatility in logarithmic form (log(RV t 1/2 ), right panel) for the three estimators (naive on the fi
Table 1: Descriptive statistics of the daily realized variance (RV t ), daily realized volatility (RV t 1/2 ), and daily realized volatility in logarithmic form (log(RV t 1/2 )) for the naive, subsampling, and kernel-based estimators.
Figure 3: Volatility signature plots for the full (top) and November-December (bottom) samples using the naive estimator for realized variance.
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