# rcov: Realized Covariance In starvars: Vector Logistic Smooth Transition Models / Realized Covariances Construction

## Description

Function returns the vectorization of the lowest triangular of the Realized Covariance matrices for different frequencies.

## Usage

 1 2 rcov(data, freq = c('daily', 'monthly', 'quarterly', 'yearly'), make.ret = TRUE, cholesky = FALSE) 

## Arguments

 data a (T x N) xts object containing the N price/return series over period T freq a string defining the desired frequency for the Realized Covariance matrices between "daily", "monthly", "quarterly" or "yearly" make.ret boolean, in case it is TRUE the data are converted in returns, FALSE otherwise cholesky boolean, in case it is TRUE the Cholesky factors of the Realized Covariance matrices are calculated, FALSE by default

## Value

 Realized Covariances a M \times N(N+1)/2 matrix of realized covariances, where M is the number of lower frequency data Cholesky Factors (optional) a M \times N(N+1)/2 matrix of Cholesky factors of the realized covariance matrices, where M is the number of lower frequency data returns (optional) a M \times N matrix of returns, when make.ret = TRUE

## Author(s)

The code was written by Andrea Bucci

## References

Andersen T.G., Bollerslev T., Diebold F.X. and Labys P. (2003), Modeling and Forecasting Realized Volatility. Econometrica. 71: 579-625

Barndorff-Nielsen O.E. and Shephard N. (2002), Econometric analysis of realised volatility and its use in estimating stochastic volatility models Journal of the Royal Statistical Society. 64(2): 253-280

## Examples

 1 2 3 4 data(Sample5minutes) rc <- rcov(Sample5minutes, freq = 'daily', cholesky = TRUE, make.ret = TRUE) rc 

starvars documentation built on Jan. 13, 2021, 9:02 a.m.