PortfolioEffectEstim (version 1.4)

quarticity_rtq: Realized Tripower Quarticity

Description

Realized Tri-power Quarticity (RTQ) is an asymptotically unbiased estimator of integrated quarticity in the absence of microstructure noise.

Usage

quarticity_rtq(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: yes

- Accounts for time dependence in noise: no

- Accounts for endogenous effects in noise: no

References

Andersen, T. G., Bollerslev, T., and Diebold, F. X. (2005),"Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility" Tech. rep., NBER

See Also

quarticity_rq quarticity_rqq quarticity_mrq quarticity_mtq

Examples

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