  The usage of a spot volatility estimate based on a volatility decomposition
in a time-changed price-model according to the trading times is investigated.
In this model clock-time volatility splits up into the product of tick-time
volatility and trading intensity, which both can be estimated from data and
contain valuable information. By inspecting these two curves individually we
gain more insight into the cause and structure of volatility. Several examples
are provided where the tick-time volatility curve is much smoother than the
clock-time volatility curve meaning that the major part of fluctuations in
clock-time volatility is due to fluctuations of the trading intensity. Since
microstructure noise only influences the estimation of the (smooth) tick-time
volatility curve, the findings lead to an improved pre-averaging estimator of
spot volatility. This is reflected by a better rate of convergence of the
estimator. The asymptotic properties of the estimators are derived by an infill
asymptotic approach.
