highfrequency (version 0.4)

rCov: Realized Covariance

Description

Function returns the Realized Covariation (rCov). Let $r_{t,i}$ be an intraday $N x 1$ return vector and $i=1,...,M$ the number of intraday returns. Then, the rCov is given by $$\mbox{rCov}_{t}=\sum_{i=1}^{M}r_{t,i}r'_{t,i}.$$

Usage

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

Arguments

rdata

a $(M x N)$ matrix/zoo/xts object containing the $N$ return series over period $t$, with $M$ observations during $t$.

cor

boolean, in case it is TRUE, the correlation is returned. FALSE by default.

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

• an $N x N$ matrix

Examples

# Realized Variance/Covariance for CTS aligned   
 # at 5 minutes.
 data(sample_tdata); 
 data(sample_5minprices_jumps);
 
 # Univariate: 
 rv = rCov( rdata = sample_tdata$PRICE, align.by ="minutes", 
                    align.period =5, makeReturns=TRUE); 
 rv 
 
 # Multivariate: 
 rc = rCov( rdata = sample_5minprices_jumps['2010-01-04'], makeReturns=TRUE); 
 rc