Description Usage Arguments Value Author(s) References Examples
Function returns the rQPVar, defined in Andersen et al. (2012).
Assume there is N equispaced returns in period t. Let r_{t,i} be a return (with i=1, …,N) in period t.
Then, the rQPVar is given by
\mbox{rQPVar}_{t}=\frac{N}{N-3} \frac{π^2}{4} ∑_{i=4}^{N} \mbox(|r_{t,i}| |r_{t,i-1}| |r_{t,i-2}| |r_{t,i-3}|)
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rdata |
a zoo/xts object containing all returns in period t for one asset. |
align.by |
a string, align the tick data to "seconds"|"minutes"|"hours" |
align.period |
an integer, align the tick data to this many [seconds|minutes|hours]. |
makeReturns |
boolean, should be TRUE when rdata contains prices instead of returns. FALSE by default. |
... |
additional arguments. |
numeric
Giang Nguyen, Jonathan Cornelissen and Kris Boudt
Andersen, T. G., D. Dobrev, and E. Schaumburg (2012). Jump-robust volatility estimation using nearest neighbor truncation. Journal of Econometrics, 169(1), 75- 93.
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