highfrequency (version 0.6.5)

rKurt: Realized kurtosis of highfrequency return series.

Description

Function returns Realized kurtosis, defined in Amaya et al. (2011).

Usage

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

Arguments

rdata

a zoo/xts object containing all returns in period t for one asset.

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

numeric

Details

Assume there is \(N\) equispaced returns in period \(t\). Let \(r_{t,i}\) be a return (with \(i=1, \ldots,N\)) in period \(t\).

Then, the rKurt is given by $$ \mbox{rKurt}_{t}= \frac{N \sum_{i=1}^{N}(r_{t,i})^4}{RV_{t}^2} $$ in which \(RV_t:\) realized variance

References

Amaya, D., Christoffersen, P., Jacobs, K. and Vasquez, A. (2011). Do realized skewness and kurtosis predict the cross-section of equity returns?. CREATES research paper. p. 3-7.

Examples

# NOT RUN {
data(sample_tdata)
rKurt(sample_tdata$PRICE, align.by = "minutes", align.period = 5, makeReturns = TRUE)

# }