highfrequency (version 0.2)

minRV: minRV

Description

Function returns the minRV, defined in Andersen et al. (2009).

Let $r_{t,i}$ be a return (with $i=1,\ldots,M$) in period $t$.

Then, the minRV is given by $$\mbox{minRV}_{t}=\frac{\pi}{\pi - 2}\left(\frac{M}{M-1}\right) \sum_{i=1}^{M-1} \mbox{min}(|r_{t,i}| ,|r_{t,i+1}|)^2$$

Usage

minRV(rdata,align.by=NULL,align.period=NULL,makeReturns=FALSE,...)

Arguments

rdata

a zoo/xts object containing all returns in period t for one asset.

align.by

a string, align the tick data to "seconds"|"minutes"|"hours".

align.period

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.

...

additional arguments.

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

data(sample_tdata); 
 
 minrv = minRV( rdata = sample_tdata$PRICE, align.by ="minutes", 
            align.period =5, makeReturns=TRUE); 
 minrv