  We calculate realized volatility of the Nikkei Stock Average (Nikkei225)
Index on the Tokyo Stock Exchange and investigate the return dynamics. To avoid
the bias on the realized volatility from the non-trading hours issue we
calculate realized volatility separately in the two trading sessions, i.e.
morning and afternoon, of the Tokyo Stock Exchange and find that the
microstructure noise decreases the realized volatility at small sampling
frequency. Using realized volatility as a proxy of the integrated volatility we
standardize returns in the morning and afternoon sessions and investigate the
normality of the standardized returns by calculating variance, kurtosis and 6th
moment. We find that variance, kurtosis and 6th moment are consistent with
those of the standard normal distribution, which indicates that the return
dynamics of the Nikkei Stock Average are well described by a Gaussian random
process with time-varying volatility.
