spotVolatility: Spot volatility estimation

In piotrek-orlowski/diveRgence: High frequency econometrics -- divergence esitmation

Description

Function for calculating spot volatility under the assumptions of (a) continuous underlying process, (b) noisy observations of a continuous underlying process, (c) underlying process with jumps. The apply.at and apply.period parameters indicate at which time stamps the estimator should be applied. If you specify to align.by='seconds', align.period=5, then pick, for example, apply.at='minutes', apply.by=10. For more details, see Mancini, Matiussi and Reno (2012).

Usage

spotVol(rdata, spot.index = NULL, makeReturns, align.by, align.period,
  apply.at, apply.period, avg.vol, reference.time = "07:30:00",
  vol.jumping = TRUE, year.days = 365, seconds.per.day = 86400,
  kernel.type = "gaussian", ...)

Arguments

rdata	an xts object containing 1 return series.
spot.index	POSIXct vector of times when volatility should be estimated. If this argument is given, apply.at and apply.period are ignored.
makeReturns	boolean, should be TRUE when price data is supplied. Defaults to FALSE.
align.by
align.period
apply.at	at what time unit intervals should the estimator be applied?
apply.period	every how many time unit intervals should the estimator be applied?
...	Arguments passed on to aggregatePrice
estFun	local volatility estimating function, one of spotVolBase* specified in this document.
nbar	two-scale (two-frequency) parameter for eliminating microstructure noise in estimation.

Details

The most important arguments to pass go aggregatePrice are marketopen and marketclose, see documentation therein. The default values are different from our test data set.

piotrek-orlowski/diveRgence documentation built on May 25, 2019, 7:14 a.m.