highfrequency (version 0.7.0.1)

rQPVar: Realized quad-power variation of highfrequency return series.

Description

Function returns the realized quad-power variation, 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 rQPVar is given by $$ \mbox{rQPVar}_{t}=N*\frac{N}{N-3} \left(\frac{\pi^2}{4} \right)^{-4} \mbox({|r_{t,i}|} {|r_{t,i-1}|} {|r_{t,i-2}|} {|r_{t,i-3}|}) $$

Usage

rQPVar(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 {
data(sampleTData)
rQPVar(rData= sampleTData$PRICE, alignBy= "minutes", alignPeriod =5, makeReturns= TRUE)
rQPVar

# }