highfrequency (version 0.6.5)

rCov: Realized Covariance

Description

Function returns the Realized Covariation (rCov). Let \(r_{t,i}\) be an intraday \(N x 1\) return vector and \(i=1,...,M\) the number of intraday returns.

Then, the rCov is given by $$ \mbox{rCov}_{t}=\sum_{i=1}^{M}r_{t,i}r'_{t,i}. $$

Usage

rCov(
  rdata,
  cor = FALSE,
  align.by = NULL,
  align.period = NULL,
  makeReturns = FALSE
)

Arguments

rdata

a \((M x N)\) matrix/zoo/xts object containing the \(N\) return series over period \(t\), with \(M\) observations during \(t\). In case of a matrix, no multi-day adjustment is possible.

cor

boolean, in case it is TRUE, the correlation is returned. FALSE by default.

align.by

a string, align the tick data to "seconds"|"minutes"|"hours".

align.period

an integer, align the tick data to this many [seconds|minutes|hours].

makeReturns

boolean, should be TRUE when rdata contains prices instead of returns. FALSE by default.

Value

an \(N x N\) matrix

Examples

# NOT RUN {
# Realized Variance/Covariance for prices aligned   
# at 5 minutes.
data(sample_tdata)
data(sample_5minprices_jumps)

# Univariate: 
rv = rCov(rdata = sample_tdata$PRICE, align.by = "minutes", 
                   align.period = 5, makeReturns = TRUE)
rv 

# Multivariate: 
rc = rCov(rdata = sample_5minprices_jumps['2010-01-04'], makeReturns=TRUE)
rc
# }