rv.naive {realized}R Documentation

Realized Variance

Description

Traditional realized variance estimator.

Usage

rv.naive(x, period, align.period = 1, cts = TRUE, makeReturns = FALSE, ...)

Arguments

x RealizedObject or TimeSeries for S+
period Sampling period
align.period Align the returns to this period first
cts Create calendar time sampling if a non realizedObject is passed
makeReturns Prices are passed make them into log returns
... ...

Value

Sum of products of high frequency returns.

Author(s)

Scott Payseur <spayseur@u.washington.edu>

References

O. E. Barndorff-Nielson and N. Sheppard. Econometric analysis of realised volatility and its use in estimating stochastic volatility models. Journal of the Royal Statistical Society, Series B 64:253-280, 2002

T.G. Andersen, T. Bollerslev, F.X. Diebold, and P. Labys. The distribution of exchange rate volatility. Journal of the American Statistical Association, 96:42-55, 2001.

See Also

rc.naive, rSignature, rRealizedVariance

Examples


data(msft.real.cts)
data(ge.real.cts)

# Traditional RV aligned to 60 seconds
#
rv.naive(x = msft.real.cts[[1]], period = 60)


[Package realized version 0.81 Index]