minRV: minRV

In highfrequency: Tools for Highfrequency Data Analysis

Description

Function returns the minRV, defined in Andersen et al. (2009).

Let r_{t,i} be a return (with i=1,…,M) in period t.

Then, the minRV is given by

\mbox{minRV}_{t}=\frac{π}{π - 2}≤ft(\frac{M}{M-1}\right) ∑_{i=1}^{M-1} \mbox{min}(|r_{t,i}| ,|r_{t,i+1}|)^2

Usage

 minRV(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)

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); 
 
 minrv = minRV( rdata = sample_tdata$PRICE, align.by ="minutes", 
            align.period =5, makeReturns=TRUE); 
 minrv 

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