About this question
Medium · time_series · Quant Researcher interview question · realized_variance, semivariance, high_frequency, jump_variation, volatility, time_series
Realized variance (RV) estimates daily volatility from high-frequency data by summing squared intraday returns. RV can be decomposed into upside (RS⁺) and downside (RS⁻) semivariances, which separately measure the magnitude of positive and negative return variation. This decomposition is crucial in quantitative finance for modeling volatility asymmetry and assessing crash risk. Task Implement the function realized_semivariance(returns: list) -> list to decompose a high-frequency return series.