PortfolioEffectEstim (version 1.4)

variance_uzrv: Uncertainty Zones Realized Variance

Description

Uncertainty Zones Realized Variance (UZRV) is an integrated variance estimator that accounts for stochastic rounding noise like bid-ask bounce effects.

Usage

variance_uzrv(estimator)

Arguments

estimator

Vector of (time, price) observations for market asset when external market data is used.

Value

Details

- Convergence speed: $m^{1/2}$ (m - number of observation)

- Accounts for additive noise: yes

- Accounts for finite price jumps: no

- Accounts for time dependence in noise: no

- Accounts for endogenous effects in noise: yes

References

Robert, C. Y. and Rosenbaum, M. (2012), Volatility and covariation estimation when microstructure noise and trading times are endogenous. Mathematical Finance, 22

See Also

variance_rv variance_tsrv variance_msrv variance_mrv variance_jrmrv variance_krv

Examples

## Not run: 
# data(spy.data) 
# estimator=estimator_create(priceData=spy.data)
# estimator_settings(estimator,
# 				   inputSamplingInterval = '10s',
# 				   resultsSamplingInterval = '10s')
# util_plot2d(variance_uzrv(estimator),title="UZRV")
# ## End(Not run)