Realized Volatility Quant Interview Guide
Realized volatility quant interview guide covering returns, sampling, annualization, jumps, microstructure noise, examples, and mistakes.
Candidates discussing historical volatility, returns, and risk estimates.
Realized volatility comes from returns
Realized volatility estimates price variation from observed returns over a chosen window, sampling frequency, and annualization convention.
Sampling choices change the estimate
Daily, intraday, close-to-close, and high-frequency returns can produce different volatility estimates because noise and jumps enter differently.
Concrete example
If daily return standard deviation is one percent, a rough annualized volatility estimate multiplies by the square root of about 252 trading days.
Microstructure noise matters intraday
Bid-ask bounce, stale quotes, discrete ticks, and asynchronous trades can distort high-frequency realized volatility calculations.
Common mistakes
Candidates often annualize mechanically without naming the period. Always state return frequency, window length, and square-root-time assumptions.
Practice the pattern
Use the LeetQuidity curriculum and calibration to turn this topic into a focused practice plan.