Realized variance and daily probability distribution

[petergarylee]

I would like to compute daily realized variance given 5 minutes price/level and return, and daily probability distribution on the return data ignored the overnight return. More specifically, I would like to compute variance premium given realized variance and VIX, and also the ambiguity index(the probability distribution I need) computed by Brenner and Izhakian.

Thank you for all of your kindly help.

[buran]

Sounds like really interesting project. Please, don't hesitate to ask if you have specific question. Don't forget to post your code in python tags as well as full traceback in error tags if you get any exceptions.