two_scale_realized_volatility: Two-scaled realized volatility estimator
In muffin1974/lobster: This package helps to handle, read-in and analyze data from the lobster high-frequency data universe
Usage
1
two_scale_realized_volatility(logprices, K = 300, J = 1)
Arguments
logprices
vector with log prices
K
(Slow) Time Scale (in Seconds), default is 300 Seconds (=5 Minutes)
J
(Fast) Time Scale (in Seconds), default is 1 Second
Value
Realized volatility estimator
muffin1974/lobster documentation built on May 23, 2019, 8:20 a.m.
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Usage
1 | two_scale_realized_volatility(logprices, K = 300, J = 1)
|
Arguments
logprices |
vector with log prices |
K |
(Slow) Time Scale (in Seconds), default is 300 Seconds (=5 Minutes) |
J |
(Fast) Time Scale (in Seconds), default is 1 Second |
Value
Realized volatility estimator
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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