PortfolioEffectEstim (version 1.4)

quarticity_rq: Realized Quarticity

Description

Realized Quarticity (RQ) is an asymptotically unbiased estimator of integrated quarticity in the absence of microstructure noise.

Usage

quarticity_rq(estimator)

Arguments

estimator

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

Value

Details

- Convergence speed: $m^{1/4}$ (m - number of observation)

- Accounts for additive noise: no

- Accounts for finite price jumps: no

- Accounts for time dependence in noise: no

- Accounts for endogenous effects in noise: no

References

Barndorff-Nielsen, O. E. and N. Shephard (2002). Econometric analysis of realized volatility and its use in estimating stochastic volatility models. Journal of the Royal Statistical Society: Series B 64 (2), 253-280.

See Also

quarticity_mrq quarticity_rqq quarticity_rtq quarticity_mtq

Examples

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