LM_JumpTest: Lee & Mykland Jump Test

In YalDan/hf.econometrics: High Frequency Econometrics

Lee & Mykland Jump Test

Description

Calculates the jump test statistic as per Lee & Mykland (2012)

Usage

LM_JumpTest(DATA, variation_estimate = "Jacod_10")

Arguments

DATA	A data.table with structure as provided in the example.
variation_estimate	How should sigma_hat be estimated? Options are "HP_13" for Hautsch & Podolskij (2013) "Modulated realized covariance"; "Jacod_10" for Jacod et al. (2010) "Pre-averaging"; "AJ_09" for Ait-Sahalia & Jacod (2009) "Jump Activity". Defaults to "Jacod_10".

Value

Returns a data.table with the jump test result.

t: The timestamps on 'G_n_kM“

date: The corresponding date

id: in case the info is available, on which exchange was the data point observed?

s: the ticker symbol

count: the count of the observation in the full dataset

P_hat_tj: P_hat_tj calculated as in the original paper. Averaged subsampled observations over blocks.

exp_P_hat_tj: e^(P_hat_tj) to approximate the current price.

exp_P_hat_tj_minus1 Lagged value of e^(P_hat_tj). This shows the price of the previous observation.

k: calculated as in the original paper. Indicates the degree of contamination with market microstructure noise in the data.

M: calculated as in the original paper. The block size for subsampling.

kM: k*M. Shows how many observations are in each block.

C: calculated as in the original paper.

qhat: calculated as in the original paper.

sigmahat: calculated as in the original paper.

Vn: The daily variation estimated from the data.

plim_Vn: The asymptotic daily variation.

A_n: calculated as in the original paper.

B_n calculated as in the original paper.

L_t_j: calculated as in the original paper. The returns between the averages of subsampled observations over blocks.

Chi_t_j: calculated as in the original paper. For calculating the test statistic.

sign_level: Significance level for the test statistic.

betastar: Value for obtaining the critical value.

criticalvalue: The critical value for rejecting the null.

Jump_indicator: Either -1,0, or 1. Where 0 = no jump and the sign indicates the direction of the jump.

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