[Blotter-commits] r299 - pkg/RTAQ/man

[noreply at r-forge.r-project.org]

Author: jonathan
Date: 2010-03-24 12:19:32 +0100 (Wed, 24 Mar 2010)
New Revision: 299

Added:
   pkg/RTAQ/man/RV.Rd
Log:
help file test

Added: pkg/RTAQ/man/RV.Rd
===================================================================
--- pkg/RTAQ/man/RV.Rd	                        (rev 0)
+++ pkg/RTAQ/man/RV.Rd	2010-03-24 11:19:32 UTC (rev 299)
@@ -0,0 +1,40 @@
+\name{RV}
+\Rdversion{1.1}
+\alias{RV}
+\title{
+Realized Volatility
+}
+\description{
+Function returns the Realized Variance (RV).
+
+Let \eqn{r_{t,i}} be a return (with \eqn{i=1,\ldots,M}) in period \eqn{t}.
+Then the Realized Variance is given by
+the sum of the squared intraday returns
+\deqn{\mbox{RV}_{t}= \sum_{i=1}^{M}r_{t,i}^{2}}
+
+\deqn{\sigma=variance(R)}{sigma=var(R)}
+
+\deqn{ES=-\bar{R} + \sqrt{\sigma} \cdot \frac{1}{c}\phi(z_{c}) }{VaR= -mean(R) + sqrt(sigma)*dnorm(z_c)/c}
+
+
+}
+
+\usage{
+RV(returnseries);
+}
+
+\arguments{
+  \item{returnseries}{ a vector/zoo/xts object containing all returns in period t for one asset }
+}
+
+\section{Details}{
+}
+
+\value{
+numeric
+}
+\references{
+}
+\author{ Jonathan Cornelissen and Kris Boudt}
+
+%R CMD Rdconv --type=html --output=RV.htm RV.Rd
\ No newline at end of file