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 <[email protected]>

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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