The paper studies regularization propeties of the regularized direct filter approach to high-dimensional filtering and real-time signal extraction. The regularized filter is endowed with three regularization terms for (i) coefficient smoothness, (ii) cross-sectional shrinkage and (iii) longitudinal shrinkage. Relative merits of the regularization terms are discussed. It is shown that the regularized filter is able to process highdimensional data sets by controlling effective degrees of freedom using the three regularization terms, and that it is computationally fast.