rCov {highfrequency} | R Documentation |
Realized covariance
Description
Function returns the Realized Covariation (rCov).
Let be an intraday
return vector and
the number of intraday returns.
Then, the rCov is given by
Usage
rCov(
rData,
cor = FALSE,
alignBy = NULL,
alignPeriod = NULL,
makeReturns = FALSE,
...
)
Arguments
rData |
an |
cor |
boolean, in case it is |
alignBy |
character, indicating the time scale in which |
alignPeriod |
positive numeric, indicating the number of periods to aggregate over. For example, to aggregate
based on a 5-minute frequency, set |
makeReturns |
boolean, should be |
... |
used internally, do not change. |
Value
in case the input is and contains data from one day, an 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