RSkew: Realized skewness of highfrequency return series.

In highfrequency: Tools for Highfrequency Data Analysis

Description

Function returns Realized skewness, defined in Amaya et al. (2011).

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 rSkew is given by

\mbox{rSkew}_{t}= \frac{√{N} ∑_{i=1}^{N}(r_{t,i})^3}{RV_{t}^{3/2}}

in which RV_{t}: realized variance

Usage

rSkew (rdata,align.by=NULL,align.period=NULL,makeReturns=FALSE,...)

Arguments

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.

Value

numeric

Author(s)

Giang Nguyen, Jonathan Cornelissen and Kris Boudt

References

Amaya, D., Christoffersen, P., Jacobs, K. and Vasquez, A. (2011). Do realized skewness and kurtosis predict the cross-section of equity returns?. CREATES research paper. p. 3-7.

Examples

data(sample_tdata)
rSkew(sample_tdata$PRICE,align.by ="minutes", align.period =5, makeReturns = TRUE)

Example output

Loading required package: xts
Loading required package: zoo

Attaching package: 'zoo'

The following objects are masked from 'package:base':

    as.Date, as.Date.numeric

[1] -1.197639

highfrequency documentation built on May 2, 2019, 6:09 p.m.