rMPV: Realized multipower variation (MPV), an estimator of...

In jonathancornelissen/highfrequencyGSOC: All code written during GSOC 2013 by Giang Nguyen

Description

Function returns the rMPV, 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 rMPV is given by

\mbox{rMPV}_{N}(m,p)= d_{m,p} \frac{N^{p/2}}{N-m+1} ∑_{i=1}^{N-m+1}|r_{t,i}|^{p/m} … |r_{t,i+m-1}|^{p/m}

in which

d_{m,p}= μ_{p/m}^{-m}:

m: the window size of return blocks;

p: the power of the variation;

and m > p/2.

Usage

rMPV(rdata, m= 2, p=2, align.by= NULL, align.period= NULL, makeReturns= FALSE,...)

Arguments

rdata	a zoo/xts object containing all returns in period t for one asset.
m	the window size of return blocks. 2 by default.
p	the power of the variation. 2 by default.
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.

Value

numeric

Author(s)

Giang Nguyen, Jonathan Cornelissen and Kris Boudt

References

Andersen, T. G., D. Dobrev, and E. Schaumburg (2012). Jump-robust volatility estimation using nearest neighbor truncation. Journal of Econometrics, 169(1), 75- 93.

Examples

data(sample_tdata)
rMPV(sample_tdata$PRICE, m=2, p=3, align.by= "minutes", align.period=5,makeReturns= TRUE)

jonathancornelissen/highfrequencyGSOC documentation built on May 19, 2019, 7:28 p.m.