document: Modeling daily realized futures volatility with singular spectrum analysis Using singular spectrum analysis -LRB- SSA -RRB- , we model the realized volatility and logarithmic standard deviations of two important futures return series . The realized volatility and logarithmic standard deviations are constructed following the methodology of Andersen et al. -LSB- J. Am . Stat . Ass . 96 -LRB- 2001 -RRB- 42-55 -RSB- using intra-day transaction data . We find that SSA decomposes the volatility series quite well and effectively captures both the market trend -LRB- accounting for about 34-38 % of the total variance in the series -RRB- and , more importantly , a number of underlying market periodicities . Reliable identification of any periodicities is extremely important for options pricing and risk management and we believe that SSA can be a useful addition to the financial practitioners ' toolbox
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