The article discusses different ways to measure volatility in financial data. It categorizes volatility into three types: past, expected, and instantaneous. There are two main methods used: parametric, which makes specific assumptions about volatility, and nonparametric, which is more flexible. Parametric methods use models with fixed variables, while nonparametric methods are more flexible and can adapt to changing data. Nonparametric methods include filters and smoothers to measure volatility over short time periods. Overall, the article provides a framework for understanding and measuring volatility in financial markets.