rv.naive: Realized Variance

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

View source: R/realized.R

Description

Traditional realized variance estimator.

Usage

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

Arguments

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

Calendar Time Sampling is used

makeReturns

Convert to Returns

...

...

Value

Sum of products of high frequency returns.

Author(s)

Scott Payseur <[email protected]>

References

O. E. Barndorff-Nielson and N. Sheppard. Econometric analysis of realised volatility and its use in estimating stochastic volatility models. Journal of the Royal Statistical Society, Series B 64:253-280, 2002

T.G. Andersen, T. Bollerslev, F.X. Diebold, and P. Labys. The distribution of exchange rate volatility. Journal of the American Statistical Association, 96:42-55, 2001.

See Also

rc.naive, rSignature, rRealizedVariance

Examples

1
2
3
4
5
6
#rv.naive
data(sbux.xts)

# Traditional RV aligned to 60 seconds
#
rv.naive(x = sbux.xts, period = 60, align.by ="seconds", align.period=1)

realized documentation built on May 31, 2017, 4:57 a.m.