rTPQuar: Realized tri-power quarticity of highfrequency return series.

In highfrequency: Tools for Highfrequency Data Analysis

Description

Function returns the realized tri-power quarticity, defined in Huang and Tauchen (2005) and Andersen et al. (2012).

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 rTPQuar is given by

\mbox{rTPQuar}_{t}=\frac{N^2}{N-2} ≤ft( 2^{2/3} \frac{Γ ≤ft(7/6\right)}{ Γ ≤ft(1/2\right)} \right)^{-3} ∑_{i=3}^{N} \mbox({|r_{t,i}|}^{4/3} {|r_{t,i-1}|}^{4/3} {|r_{t,i-2}|}^{4/3})

Usage

rTPQuar (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

Andersen, T. G., D. Dobrev, and E. Schaumburg (2012). Jump-robust volatility estimation using nearest neighbor truncation. Journal of Econometrics, 169(1), 75- 93.

Huang, X. and Tauchen, G. (2005). The relative contribution of jumps to total price variance. Journal of Financial Econometrics, 3(4), 456-499.

Examples

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

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