Abstract
In this paper, we estimate some volatilities and analyze each value through high frequency data under financial crisis 2008. Precisely speaking, we study the asymmetric diversity of volatility fluctuation, the distribution mixture hypothesis proposed by Clark[4], prediction power of volatility and existence of jump on volatility process. As the result, 1. We observe the asymmetric diversity of volatility fluctuation. 2. Fluctuation of returns is occurred by not only volatility but also other factor. 3. When we forecast volatility, it is useful to add implied volatility as new exogenous variable in time series model. 4. We found it is necessary to formulate volatility estimation considering jump.
