rv.timescale: Realized Variance: Two Timescales

In realized: Realized

Description

Realized variance using the two timescale variance method.

Usage

rv.timescale(x, period, align.by="seconds", align.period = 1, adj.type = "classic", 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	Create calendar time sampling if a non realizedObject is passed
makeReturns	Prices are passed make them into log returns
adj.type	"classic", "adj" or "aa"
...	...

Details

Realized variance using two timescale method.

Value

Realized variance using two timescale method

Author(s)

Scott Payseur <[e-mail]>

References

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.

See Also

rc.timescale, rRealizedVariance

Examples

data(sbux.xts)
rv.timescale(x = sbux.xts, period = 60,align.by ="seconds", align.period=1, adj.type="aa")

realized documentation built on May 2, 2019, 6:47 p.m.