Description Usage Arguments Value Author(s) References Examples

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

1 2 |

`data` |
a |

`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 |

`cholesky` |
boolean, in case it is |

`Realized Covariances` |
a |

`Cholesky Factors (optional)` |
a |

`returns (optional)` |
a |

The code was written by Andrea Bucci

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

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

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