RealizedEst_Option: Realized GARCH-Ito Model with Options
In GARCHIto: Class of GARCH-Ito Models

Description Usage Arguments Value References

View source: R/RealizedEst_Option.R

Estimate model parameters for the Realized GARCH-Ito Model with Options

1	RealizedEst_Option(RV = RV, JV = NULL, NV = NULL, homogeneous = TRUE)

`RV`	Time series of daily realized volatilities.
`JV`	Time series of daily jump variations,
`NV`	Time series of daily volatilities estimated using option data
`homogeneous`	Whether to assume homogeneous error in the linear regression model between conditional volatility of the realized GARCH-Ito model and volatility estimated from the option data, default is TRUE.

Estimated parameter values and daily conditional volatilities:

coefficients: parameter estimates of the realized GARCH-Ito model
sigma: daily conditional volatility estimates of the realized GARCH-Ito model
pred: one-step-ahead predicted volatility value

Song, X., Kim, D., Yuan, H., Cui, X., Lu, Z., Zhou, Y., & Wang, Y. (2020). Volatility Analysis with Realized GARCH-Ito Models. Journal of Econometrics, in press.

GARCHIto documentation built on Sept. 14, 2020, 5:06 p.m.