Realized volatility, which is the sum of squared intraday returns, has recently attracted the attention of financial economists and econometricians because high-frequency returns data are now available. This article surveys the literature on realized volatility and analyzes the realized volatility in the Japanese stock market. The time-series models to describe the dynamics of realized volatility such as ARFIMA(X), HAR, UC models are explained. Their predictive abilities for future volatility are compared with those of several ARCH-type models using the daily returns and realized volatility of the Nikkei 225 stock index. Several important problems to be treated in future works are also discussed.
