highfrequency (version 0.4)

rTPVar: Realized tripower variation of highfrequency return series.

Description

Function returns the rTPVar, 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 rTPVar is given by $$\mbox{rTPVar}_{t}=\frac{N}{N-2} \frac{\Gamma^2 \left(1/2\right)}{4 \Gamma^2 \left(7/6\right)} \sum_{i=3}^{N} \mbox({|r_{t,i}|}^{4/3} {|r_{t,i-1}|}^{4/3} {|r_{t,i-2}|}^{4/3})$$

Usage

rTPVar (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)
rTPVar(rdata= sample_tdata$PRICE, align.by= "minutes", align.period =5, makeReturns= TRUE)
rTPVar