highfrequency (version 0.6.5)

minRV: minRV

Description

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

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

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

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.

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

# NOT RUN {
data(sample_tdata)
minrv <- minRV(rdata = sample_tdata$PRICE, align.by = "minutes",
               align.period = 5, makeReturns = TRUE)
minrv 

# }