Description Usage Arguments Value Author(s) References See Also Examples
Realized Variance using average subsample.
1 |
x |
Tick data in xts object. |
period |
Sampling period |
align.by |
Align the tick data to seconds|minutes|hours |
align.period |
Align the tick data to this many [seconds|minutes|hours] |
cts |
Create calendar time sampling if a non realizedObject is passed |
makeReturns |
Prices are passed make them into log returns |
... |
... |
Realized variance using average subsample.
Scott Payseur <spayseur@u.washington.edu>
L. Zhang, P.A Mykland, and Y. Ait-Sahalia. A tale of two time scales: Determining integrated volatility with noisy high-frequency data. Journal of the American Statistical Association, 2005.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 | data(sbux.xts)
#
# Average subsampled realized variance for CTS aligned at one second returns at
# 600 subgrids (10 minutes).
#
rv.avg(x = sbux.xts, period = 600, align.by ="seconds", align.period=1)
#
# Average subsampled realized variance for CTS aligned at one minute returns at
# 5 subgrids (5 minutes).
#
rv.avg(x = sbux.xts, period = 5, align.by ="minutes", align.period=5)
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