highfrequency (version 0.5.3)

rCov: Realized Covariance

Description

Function returns the Realized Covariation (rCov).

Let $r_{t,i}$ be an intraday $Nx1$ return vector and $i=1,...,M$ the number of intraday returns.

Then, the rCov is given by $${\text{rCov}}_t=\sum _{i=1}^M{r}_{t,i}{r}_{t,i}^{\prime }.$$

Usage

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

Arguments

rdata

a $(MxN)$ 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 $NxN$ matrix

Examples

# NOT RUN {
 # 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
# }