[Blotter-commits] r779 - pkg/RTAQ/R

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

Author: kboudt
Date: 2011-09-15 17:26:28 +0200 (Thu, 15 Sep 2011)
New Revision: 779

Added:
   pkg/RTAQ/R/thresholdBPCov.R
Log:
threshold bipower 

Added: pkg/RTAQ/R/thresholdBPCov.R
===================================================================
--- pkg/RTAQ/R/thresholdBPCov.R	                        (rev 0)
+++ pkg/RTAQ/R/thresholdBPCov.R	2011-09-15 15:26:28 UTC (rev 779)
@@ -0,0 +1,74 @@
+
+
+filtered_variance = function(rdata,flag=NULL,L=25){
+  # Based on original code from Fulvio Corsi, Davide Pirino and Roberto Reno'
+  # "Threshold bipower variation and the impact of jumps on volatility forecasting" (J Ects, 2010)
+  # Auxiliary estimation as described in the appendix
+  r2 = rdata^2; 
+  T = length(r2);
+  
+  if( is.null(flag)){ flag = rep(0,T)}
+  hL = rep(0,T)
+  for( k in 1:T ){
+    h=s=0;
+    for( i in c( (-L:-2),(2:L))  ){
+        if ( ((k+i)>0) & ( (k+i)<(T+1))  ){
+           if( flag[k+i]==0){
+                h = h + dnorm(i/L)*r2[k+i]; 
+                s = s + dnorm(i/L);             
+           }
+        }     
+    }
+    if (s!=0){ hL[k]=h/s }else{ hL[k]=0 }
+  }
+  return(hL);
+}
+
+CPRlocalvol <- function(rdata,niter=3,L=25,eta=9){
+  # Based on original code from Fulvio Corsi, Davide Pirino and Roberto Reno'
+  # "Threshold bipower variation and the impact of jumps on volatility forecasting" (J Ects, 2010)
+  # Auxiliary estimation as described in the appendix
+  hL = Inf;
+  for( iterations in 1:niter ){
+    flag_jumps = rep(0,length(rdata))
+    flag_jumps[ rdata^2 > (eta*hL)] = 1    
+    hL = filtered_variance(rdata=rdata,flag=flag_jumps,L=L);   
+  }
+  return(hL)
+}
+
+thresholdBPCov = function (rdata, startIV = NULL, eta = 9, cor=FALSE, makeReturns=FALSE,...){
+  # Based on original code from Fulvio Corsi, Davide Pirino and Roberto Reno'
+  # "Threshold bipower variation and the impact of jumps on volatility forecasting" (J Ects, 2010)
+  # Auxiliary estimation as described in the appendix
+  if(hasArg(data)){ rdata = data }
+  if(makeReturns){  rdata = makeReturns(rdata)}
+ 
+  rdatacheck(rdata,multi=TRUE);
+    
+  rdata=as.matrix(rdata);
+  n=dim(rdata)[1];  					                  #number of observations
+  delta = 1/n;
+  if (!is.null(startIV)) {
+        localvars = startIV*delta;
+  }
+  if (is.null(startIV)) {
+        localvars = apply(rdata,2,FUN="CPRlocalvol");  #Robust local vol estimator of Corsi, Pireno and Reno
+  }  
+  tresmatrix = eta*localvars;	  #treshold per stock
+  condition = (rdata^2) > tresmatrix;
+  rdata[condition] = 0;
+  covariance = RBPCov(rdata);
+  if(cor==FALSE){ return(covariance) }
+  if(cor==TRUE){
+  sdmatrix = sqrt(diag(diag(covariance)));
+  rcor = solve(sdmatrix)%*%covariance%*%solve(sdmatrix);
+  return(rcor)}
+}  
+  
+  
+  
+  
+}
+
+rdata, cor=FALSE, makeReturns=FALSE,...
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