rv.avg: Realized Variance: Average Subsample
In realized: Realized

Description Usage Arguments Value Author(s) References See Also Examples

Realized Variance using average subsample.

1	rv.avg(x,period, align.by="seconds", align.period = 1, cts = TRUE, makeReturns = FALSE, ...)

`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.

rv.avg, rRealizedVariance

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)