Hi,

I am doing analysis on a high frequency trading strategy and want to generate 10-sec interval volatility numbers for certain symbols. For this, I snap the top of the book at 10 sec intervals and compute the standard deviation of the log returns for the day. To improve my accuracy, I want to average the computed 10-sec volatility over a number of days. Is a simple average of daily 10-sec volaility index over multiple days a good approximation?

thanks,
Sam