sample_data: CSI 300 Index Realized Measures
In GARCHIto: Class of GARCH-Ito Models
Description
This sample data set contains realized measures, such as realized volatility (RV),
bi-power realized volatility (BPV) and jump variation (JV) estimated from CSI 300 Index high-frequency data,
it also includes daily low-frequency log returns (return).
Usage
1
Format
An object with the following elements:
- RV
times series of daily realized volatility estimates
- BPV
times series of daily bi-power realized volatility estimates
- JV
time series of daily jump variation estimates
- return
time series of daily low-frequency returns
GARCHIto documentation built on Sept. 14, 2020, 5:06 p.m.
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Description
This sample data set contains realized measures, such as realized volatility (RV), bi-power realized volatility (BPV) and jump variation (JV) estimated from CSI 300 Index high-frequency data, it also includes daily low-frequency log returns (return).
Usage
1 |
Format
An object with the following elements:
- RV
times series of daily realized volatility estimates
- BPV
times series of daily bi-power realized volatility estimates
- JV
time series of daily jump variation estimates
- return
time series of daily low-frequency returns
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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