spotVol(RTAQ)
spotVol()所属R语言包：RTAQ
译者：生物统计家园网 机器人LoveR
描述----------Description----------
Function returns an estimate of the volatility σ_{t,i} of equispaced high-frequency returns r_{t,i} (read: the ith return on day t). The underlying assumption is that, in the absence of price jumps, high-frequency returns are normally distributed with mean zero and standard deviation σ_{t,i}, where the standard deviation is the product between a deterministic periodic factor f_{i} (identical for every day in the sample) and a daily factor s_{t} (identical for all observations within a day).
函数返回的波动性的估计σ_{t,i}等间距的高频率回报r_{t,i}（阅读：i日的日回报t）。潜在的假设是，在价格跳跃的情况下，高频率的回报通常是平均值为0，标准差σ_{t,i}，分布的标准差是产品之间的定期确定性的因素f_{i}（每天在示例中）和每日因素s_{t}（在一天之内的所有观测值相同）相同。
For the estimation of s_{t} one can choose between the realized volatility, the bipower variation of Barndorff-Nielsen and Shephard (2004) or the MedRV of Andersen et al. (2009). The latter two have the advantage of being robust to price jumps.
估计s_{t}人可以选择之间的已实现波动率的Barndorff，尼尔森和谢泼德（2004）或Andersen等人MedRV，bipower变化。 （2009年）。后两者拥有强大的价格跳跃的优势。
The function takes as input the tick-by-tick price series. From these prices, equispaced returns are computed as the change in the log price of previous tick interpolated prices sampled every k minutes.
该函数将输入刻度线刻度线价格系列。从这些价格，均布的回报计算在前面打勾的原木价格的变化，采样插值价格每k分钟。
The estimation of f_{i} is either based on scale or regression estimators. The scale estimator can be the standard deviation or its jump robust version called the weighted standard deviation. For regression, choose OLS for the classical estimation and TML (truncated maximum likelihood) for jump robust regression. The regression specification consists either of one dummy for each intraday period (dummies=TRUE) or the flexible fourrier form with P1 cosinus and P2 sinus terms. For more details on the classical methods, see Taylor and Xu (1997) and Andersen et al. (1997). For the jump robust versions, see Boudt et al. (2010).
估计f_{i}无论是规模或回归估计的基础上。的规模估计的标准差或跳强大的版本称为加权标准差。对于回归，选择OLS跳稳健回归的经典估计和TML（截断的最大似然）。回归规范包括一个虚拟的每个盘中期（假人= TRUE）或灵活fourrier的形式与P1的余弦和P2窦的条款。对于传统的方法的详细信息，请参阅泰勒和许（1997）和安德森等人。 （1997年）。跳强大的版本，请参阅Boudt等。 （2010年）。
用法----------Usage----------
spotVol(pdata, dailyvol = "bipower", periodicvol = "TML",
on = "minutes", k = 5, dummies = FALSE, P1 = 4, P2 = 2,
参数----------Arguments----------
参数：pdata
xts object, containing the price series.
的XTS对象，包含价格系列。
参数：dailyvol
determines the estimation method for the component of intraday volatility that is constant over the day, but changes from day to day. Possible values are "bipower","rv", "medrv".
确定的组成部分，这一点是恒定在一天的盘中震荡，但日常的估计方法。可能的值是bipower“，”RV“中，”medrv“。
参数：periodicvol
determines the estimation method for the component of intraday volatility that depends in a deterministic way on the intraday time at which the return is observed. Possible values are "TML","sd", "wsd", "OLS".
确定的估计方法的组成部分，盘中震荡，以确定的方式在盘中观察到的回报。可能的值是“TML”，“SD”，“WSD”，“OLS”。
参数：on
character, indicating the time scale in which "k" is expressed. Possible values are: "secs", "seconds", "mins", "minutes","hours".
字符，表示的时间尺度，其中“k”被表示。可能的值有：“秒”，“秒”，“分”，“分钟”，“小时”。
参数：k
positive integer, indicating the number of periods to aggregate over. E.g. to aggregate a xts object to the 5 minute frequency set k=5 and on="minutes".
的正整数，表示周期数的合计超过已。例如聚合XTS对象，在5分钟的频率设定k = 5 =“分钟”。
参数：dummies
boolean, in case it is TRUE, the parametric estimator of periodic volatility specifies the periodicity function as the sum of dummy variables corresponding to each intraday period. If it false, the parametric estimator uses the Flexible Fourrier specification. FALSE by default.
布尔值，如果是TRUE，参数估计的周期性波动指定的虚拟变量，对应于每个盘中期周期函数的总和。如果是假的，参数估计采用的灵活Fourrier规范。默认情况下，返回FALSE。
参数：P1
is a positive integer valued parameter that corresponds to the number of cosinus terms used in the flexible fourrier specification for the periodicity function, see Andersen et al. (1997) for details.
值是一个正整数的参数，该参数的数目对应于余弦使用的术语中的周期性函数的的灵活fourrier规范，请参阅Andersen等人。 （1997年）的详细信息。
参数：P2
is a positive integer valued parameter that corresponds to the number of sinus terms used in the flexible fourrier specification for the periodicity function, see Andersen et al. (1997) for details.
是一个正整数的值对应于窦的周期性函数的的灵活fourrier规范中使用的术语的数目的参数，该参数，请参阅Andersen等人。 （1997年）的详细信息。
参数：marketopen
the market opening time, by default: marketopen = "09:30:00".
默认情况下，市场的开放时间：marketopen =“09:30:00”。
参数：marketclose
the market closing time, by default: marketclose = "16:00:00".
市场收盘时，默认情况下：marketclose =“16:00:00”。
Details
详细信息----------Details----------
Returns an xts object with first column equal to the high-frequency return series, second column is the estimated volatility, third column is the daily volatility factor and, finally, the fourth column is the periodic component.
返回一个XTS对象等于高频回报系列的第一列，第二列是估计波幅，第三列是每天的波动因素，最后，将第四列的周期分量。
（作者）----------Author(s)----------
Jonathan Cornelissen and Kris Boudt
参考文献----------References----------
Journal of Empirical Finance 4, 115-158.
estimation using nearest neighbor truncation. NBER Working Paper No. 15533.
stochastic volatility and jumps. Journal of Financial Econometrics 2 (1), 1-37.
in volatility and jump detection. Journal of Empirical Finance 18, 353-367.
Journal of Empirical Finance 4, 317-340.
实例----------Examples----------
data("sample_real5minprices");
#compute and plot intraday periodicity[计算并画出盘中周期性]
out = spotVol(sample_real5minprices,P1=6,P2=4,periodicvol="TML",k=5,
dummies=FALSE);
head(out);
转载请注明:出自 生物统计家园网(http://www.biostatistic.net)。
注：
注1：为了方便大家学习，本文档为生物统计家园网机器人LoveR翻译而成，仅供个人R语言学习参考使用，生物统计家园保留版权。
注2：由于是机器人自动翻译，难免有不准确之处，使用时仔细对照中、英文内容进行反复理解，可以帮助R语言的学习。
注3：如遇到不准确之处，请在本贴的后面进行回帖，我们会逐渐进行修订。
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发表于 2012-9-28 22:38:29
