minRQ: An estimator of integrated quarticity from applying the minimum operator on blocks of two returns.
Description
Function returns the minRQ, defined in Andersen et al. (2012).
Assume there is $N$ equispaced returns in period $t$. Let $r_{t,i}$ be a return (with $i=1, \ldots,N$) in period $t$.
Then, the minRQ is given by
$$\mbox{minRQ}_{t}=\frac{\pi N}{3 \pi - 8} \left(\frac{N}{N-1}\right) \sum_{i=1}^{N-1} \mbox{min}(|r_{t,i}| ,|r_{t,i+1}|)^4$$
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.