# RsV: Realized semivariance of highfrequency return series. In highfrequency: Tools for Highfrequency Data Analysis

## Description

Function returns Realized semivariance, defined in Barndorff-Nielsen et al. (2008).

Function returns two outcomes: 1.Downside realized semivariance and 2.Upside realized semivariance.

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 rSV is given by

\mbox{rSVdownside}_{t}= ∑_{i=1}^{N} (r_{t,i})^2 \ \times \ I [ r_{t,i} <0 ]

\mbox{rSVupside}_{t}= ∑_{i=1}^{N} (r_{t,i})^2 \ \times \ I [ r_{t,i} >0 ]

## Usage

 1 rSV (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.

list

## Author(s)

Giang Nguyen, Jonathan Cornelissen and Kris Boudt

## References

Barndorff- Nielsen, O.E., Kinnebrock, S. and Shephard N. (2008). Measuring downside risk- realized semivariance. CREATES research paper. p. 3-5

## Examples

 1 2 data(sample_tdata) rSV(sample_tdataPRICE,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.numericrSVdownside
[1] 0.0002912575

\$rSVupside
[1] 0.0001631098


highfrequency documentation built on May 31, 2017, 4:34 a.m.