intradayJumpTest | R Documentation |
This function can be used to test for jumps in intraday price paths.
The tests are of the form L(t) = (R(t) - mu(t))/sigma(t).
See spotVol
and spotDrift
for Estimators for σ(t) and μ(t), respectively.
intradayJumpTest( pData, volEstimator = "RM", driftEstimator = "none", alpha = 0.95, alignBy = "minutes", alignPeriod = 5, marketOpen = "09:30:00", marketClose = "16:00:00", tz = NULL, n = NULL, ... )
pData |
|
volEstimator |
character denoting which volatility estimator to use for the tests. See |
driftEstimator |
character denoting which drift estimator to use for the tests. See |
alpha |
numeric of length one determining what confidence level to use when constructing the critical values. |
alignBy |
character, indicating the time scale in which |
alignPeriod |
positive numeric, indicating the number of periods to aggregate over. E.g. to aggregate
based on a 5 minute frequency, set |
marketOpen |
the market opening time. This should be in the time zone
specified by |
marketClose |
the market closing time. This should be in the time zone
specified by |
tz |
fallback time zone used in case we we are unable to identify the timezone of the data, by default: |
n |
number of observation to use in the calculation of the critical values of the test statistic. If this is left as |
... |
extra arguments passed on to The null hypothesis of the tests in this function is that there are no jumps in the price series |
Emil Sjoerup
Christensen, K., Oomen, R. C. A., Podolskij, M. (2014): Fact or Friction: Jumps at ultra high frequency. Journal of Financial Economics, 144, 576-599
## Not run: # We can easily make a Lee-Mykland jump test. LMtest <- intradayJumpTest(pData = sampleTData[, list(DT, PRICE)], volEstimator = "RM", driftEstimator = "none", RM = "rBPCov", lookBackPeriod = 20, alignBy = "minutes", alignPeriod = 5, marketOpen = "09:30:00", marketClose = "16:00:00") plot(LMtest) # We can just as easily use the pre-averaged version from the "Fact or Friction" paper FoFtest <- intradayJumpTest(pData = sampleTData[, list(DT, PRICE)], volEstimator = "PARM", driftEstimator = "none", RM = "rBPCov", lookBackPeriod = 20, theta = 1.2, marketOpen = "09:30:00", marketClose = "16:00:00") plot(FoFtest) ## End(Not run)
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