summary.HARmodel

Summary for <code>HARmodel</code> objects

Provide functionality to manage, clean and match highfrequency
trades and quotes data, calculate various liquidity measures, estimate and
forecast volatility, detect price jumps and investigate microstructure noise and intraday
periodicity. A detailed vignette can be found in the open-access paper
"Analyzing Intraday Financial Data in R: The highfrequency Package"
by Boudt, Kleen, and Sjoerup (2022, <doi:10.18637/jss.v104.i08>).

Kris Boudt

highfrequency

Tools for Highfrequency Data Analysis

Jonathan Cornelissen

Scott Payseur

Giang Nguyen

Onno Kleen

Emil Sjoerup

summary.HARmodel function

<dl><dt>object</dt>
<dd>An object of class <code>HARmodel</code></dd>
<dt>...</dt>
<dd>pass <code>lag</code> to determine the maximum order of the Newey West estimator. Default is <code>22</code></dd></dl>

Arguments

Summary for HARmodel objects — summary.HARmodel

<dl>

<dt>object</dt>
<dd>An object of class <code>HARmodel</code></dd>


<dt>...</dt>
<dd>pass <code>lag</code> to determine the maximum order of the Newey West estimator. Default is <code>22</code></dd>

</dl>

summary.HARmodel: Summary for `HARmodel` objects

Description

Usage

Value

Arguments