highfrequency (version 0.6.5)

rQuar: Realized quarticity of highfrequency return series.

Description

Function returns the rQuar, defined in Andersen et al. (2012).

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 rQuar is given by $$ \mbox{rQuar}_{t}=\frac{N}{3} \sum_{i=1}^{N} \mbox(r_{t,i}^4) $$

Usage

rQuar(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

References

Andersen, T. G., D. Dobrev, and E. Schaumburg (2012). Jump-robust volatility estimation using nearest neighbor truncation. Journal of Econometrics, 169(1), 75- 93.

Examples

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