To many one volatility is the same as the other. You look at different time frames and then standardize to say annual values and you have a good risk measure for a stock. Take daily and convert to annual. Take weekly and annualize. Take 5-minute intervals and annualize. Granted there may be differences in autocorrelation and mean-reversion, but the story is very much the same.
A new piece of research suggests that the time interval can provide different information on a stock. The short-term volatility interval can tell us something about idiosyncratic risk while a daily or longer volatility can tell us something about systematic risk. The shorter the time interval, the more the focus is on idiosyncratic risk. If this is the case, then you can decompose risk into idiosyncratic and systematic to provide more information on stock behavior. This can be done through some simple analysis. See "A tale of two risks: the role of time in the decomposition of total risk into systematic and idiosyncratic risks"
The key piece of work is looking at the differences in mean-reversion rates for volatility. By looking at the mean reversion of the idio and systematic risk we can learn about how different stock returns evolve. Understanding the volatility evolution process can provide some insights on the role of different investor groups like retail traders.
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