rCov {highfrequency}

Realized covariance

Description

Function returns the Realized Covariation (rCov). Let r_{t,i} be an intraday N \times M 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,
  alignBy = NULL,
  alignPeriod = NULL,
  makeReturns = FALSE,
  ...
)

Arguments

rData

an xts or data.table object containing returns or prices, possibly for multiple assets over multiple days.

cor

boolean, in case it is TRUE, and the input data is multivariate, the correlation is returned instead of the covariance matrix. FALSE by default.

alignBy

character, indicating the time scale in which alignPeriod is expressed. Possible values are: "ticks", "secs", "seconds", "mins", "minutes", "hours"

alignPeriod

positive numeric, indicating the number of periods to aggregate over. For example, to aggregate based on a 5-minute frequency, set alignPeriod = 5 and alignBy = "minutes".

makeReturns

boolean, should be TRUE when rData contains prices instead of returns. FALSE by default.

...

used internally, do not change.

Value

in case the input is and contains data from one day, an N \times N matrix is returned. If the data is a univariate xts object with multiple days, an xts is returned. If the data is multivariate and contains multiple days (xts or data.table), the function returns a list containing N by N matrices. Each item in the list has a name which corresponds to the date for the matrix.

Author(s)

Jonathan Cornelissen, Kris Boudt, and Emil Sjoerup.

See Also

ICov for a list of implemented estimators of the integrated covariance.

Examples

# Realized Variance/Covariance for prices aligned at 5 minutes.

# Univariate:
rv = rCov(rData = sampleTData[, list(DT, PRICE)], alignBy = "minutes",
          alignPeriod = 5, makeReturns = TRUE)
rv

# Multivariate:
rc = rCov(rData = sampleOneMinuteData, makeReturns = TRUE)
rc