AJL_JumpTest_2012: Ait-Sahalia, Jacod & Li Jump Test

In YalDan/hf.econometrics: High Frequency Econometrics

Ait-Sahalia, Jacod & Li Jump Test

Description

Calculates the jump test statistic as per Ait-Sahalia, Jacod & Li (2012)

Usage

AJL_JumpTest_2012(
  DATA,
  deltan = 1/365.25/86400,
  kn = 100,
  T_large = 1/365.25,
  trunc_level = 5,
  variance_flag = TRUE,
  sign_level = 0.05
)

Arguments

DATA	A data.table with structure as provided in the example.
deltan	The frequency of the data. Defaults to 1/365.25/86400 (i.e. 1 second in a 365.25 trading days interval).
kn	The block size for preaveraging. Defaults to 100.
T_large	The length of T. Defaults to 1/365.25
variance_flag	Should the variance be estimated? Defaults to TRUE.
sign_level	Significance level for the test statistic. Defaults to 0.05.
trunc_level:	Value for the truncation levels for estimating asymptotic variances. Defaults to 5.

Value

DT_vvec: The V vectors from pre-averaging

S_stdc: The standardized noise robust test statistic

sigmabar: The average volatility

un: The truncation level

variancehat: The estimated variance

Mstargg: The Mstar values as in the original paper

Mstargh: The Mstar values as in the original paper

Mstarhh: The Mstar values as in the original paper

sign_level: The signficance level

pvalue: The p-value

cv: The critical value

Jump_indicator: The jump indicator

YalDan/hf.econometrics documentation built on May 10, 2024, 2:18 a.m.