highfrequency (version 0.7.0.1)

medRQ: An estimator of integrated quarticity from applying the median operator on blocks of three returns.

Description

Function returns the medRQ, 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 medRQ is given by $$ \mbox{medRQ}_{t}=\frac{3\pi N}{9\pi +72 - 52\sqrt{3}} \left(\frac{N}{N-2}\right) \sum_{i=2}^{N-1} \mbox{med}(|r_{t,i-1}|, |r_{t,i}|, |r_{t,i+1}|)^4 $$

Usage

medRQ(rData, alignBy = NULL, alignPeriod = NULL, makeReturns = FALSE)

Arguments

rData

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

alignBy

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

alignPeriod

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 {
medRQ(rData = sampleTData$PRICE, alignBy = "minutes", alignPeriod = 5, makeReturns = TRUE)
medRQ
# }