  Key to the imposition of appropriate minimum capital requirements on a daily
basis requires accurate volatility estimation. Here, measures are presented
based on discrete estimation of aggregated high frequency UK futures
realisations underpinned by a continuous time framework. Squared and absolute
returns are incorporated into the measurement process so as to rely on the
quadratic variation of a diffusion process and be robust in the presence of fat
tails. The realized volatility estimates incorporate the long memory property.
The dynamics of the volatility variable are adequately captured. Resulting
rescaled returns are applied to minimum capital requirement calculations.
