[Blotter-commits] r1028 - in pkg/RTAQ: . R inst/doc man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Mon May 21 05:15:05 CEST 2012
Author: jonathan
Date: 2012-05-21 05:15:05 +0200 (Mon, 21 May 2012)
New Revision: 1028
Added:
pkg/RTAQ/R/HAR_model.R
pkg/RTAQ/inst/doc/RTAQ_vignette.Rnw
pkg/RTAQ/inst/doc/RTAQ_vignette.pdf
pkg/RTAQ/man/harModel.Rd
Modified:
pkg/RTAQ/NAMESPACE
Log:
vignette added and first version of HARmodel implemented
Modified: pkg/RTAQ/NAMESPACE
===================================================================
--- pkg/RTAQ/NAMESPACE 2012-05-18 17:49:04 UTC (rev 1027)
+++ pkg/RTAQ/NAMESPACE 2012-05-21 03:15:05 UTC (rev 1028)
@@ -1,5 +1,4 @@
useDynLib(RTAQ, .registration = TRUE);
-
#export(anova.trls, anovalist.trls, correlogram, expcov, gaucov, Kaver,
# Kenvl, Kfn, plot.trls, ppgetregion, ppinit, pplik, ppregion,
# predict.trls, prmat, Psim, semat, sphercov, SSI, Strauss,
@@ -7,6 +6,7 @@
export(
#cleaning
+harModel,
autoSelectExchangeQuotes,
autoSelectExchangeTrades,
exchangeHoursOnly,
@@ -70,7 +70,8 @@
#maxvol #new
)
-#importFrom(mvtnorm, dmvnorm);
-#importFrom(cubature, adaptIntegrate);
+S3method(print, harModel);
+S3method(summary, harModel);
+S3method(plot, harModel);
-#S3method(summary,trls)
+
Added: pkg/RTAQ/R/HAR_model.R
===================================================================
--- pkg/RTAQ/R/HAR_model.R (rev 0)
+++ pkg/RTAQ/R/HAR_model.R 2012-05-21 03:15:05 UTC (rev 1028)
@@ -0,0 +1,220 @@
+ # START implementation of paper:
+ # ROUGHING IT UP: INCLUDING JUMP COMPONENTS IN THE MEASUREMENT, MODELING, AND FORECASTING OF RETURN VOLATILITY
+ # Torben G. Andersen, Tim Bollerslev, and Francis X. Diebold
+ # data: a xts object with the intraday data
+ # periods: a vector with time periods to aggregate over, expressed in days
+ # RVest: estimator for daily realized volatility,
+ # in case a vector is supplied, the first estimator is the unrobust estimator, the second is the robust estimator
+ # type: string defining the type of model
+ # "HARRV" from "roughing paper"
+ # "HARRVJ" from "roughing paper"
+ # "HARRVCJ" from "roughing paper"
+ # jumptest: function to calculate the jump test statistic which determines whether the daily jump contribution is significant
+ # alpha: a value between zero and one to indicate what
+ # h: integer, determining over how many periods the depend variable should be aggregated. The default is 1, i.e. no aggregation is done, just one day.
+ # TODO ADD extra argument: jump-periods??? for aggregated jumps in the model...
+
+ # Helpfunctions:
+ TQfun = function(rdata){ #Calculate the realized tripower quarticity
+ returns = as.vector(as.numeric(rdata));
+ n = length(returns);
+ mu43 = 0.8308609; # 2^(2/3)*gamma(7/6) *gamma(1/2)^(-1)
+ tq = n * ((mu43)^(-3)) * sum( abs(returns[1:(n - 2)])^(4/3) *abs(returns[2:(n-1)])^(4/3) *abs(returns[3:n])^(4/3) );
+ return(tq);
+ }
+
+ ABDJumptest = function(RV, BPV, TQ){ # Comput jump detection stat mentioned in roughing paper
+ mu1 = sqrt(2/pi);
+ n = length(RV);
+ zstat = ((1/n)^(-1/2))*((RV-BPV)/RV)*( (mu1^(-4) + 2*(mu1^(-2))-5) * pmax( 1,TQ*(BPV^(-2)) ) )^(-1/2);
+ return(zstat);
+ }
+
+ harModel = function(data, periods = c(1,5,22), RVest = c("RCov","RBPCov"), type="HARRV", jumptest="ABDJumptest",alpha=0.05,h=1,transform=NULL,...){
+ nperiods = length(periods); # Number of periods to aggregate over
+ nest = length(RVest); # Number of RV estimators
+ if( !is.null(transform) ){ Ftransform = match.fun(transform); }
+ if( !(type %in% c("HARRV","HARRVJ","HARRVCJ"))){ warning("Please provide a valid argument for type, see documentation.") }
+
+ if( sum(data<0) != 0 ){ #If it are returns as input
+ # Get the daily RMs (in a non-robust and robust way)
+ RV1 = match.fun( RVest[1]);
+ RM1 = apply.daily( data, RV1 );
+ #save dates:
+ alldates = index(RM1)
+ if( nest == 2 ){
+ RV2 = match.fun( RVest[2]);
+ RM2 = apply.daily( data, RV2 ); }
+ }
+
+
+ if( sum(data<0) == 0 ){ #The input is most likely already realized measures
+ dimdata = dim(data)[2];
+ alldates = index(data);
+ RM1 = data[,1];
+ if( dimdata > 1 ){ RM2 = data[,2]; }
+ if( type != "HARRV" ){ warning("Please provide returns as input for the type of model you want to estimate. All your returns are positive which is quite unlikely honestly. Only for the HAR-RV model you can input realized measures.") }
+ }
+
+ # Get the matrix for estimation of linear model
+ maxp = max(periods); #Number of aggregation levels
+ n = length(RM1); #Number of Days
+ RVmatrix1 = matrix(nrow=n,ncol=nperiods);
+
+ for(i in 1:nperiods){
+ if(periods[i]==1){ RVmatrix1[,i] = RM1
+ }else{ RVmatrix1[(periods[i]:n),i] = rollmean(x=RM1,k=periods[i],align="left") }
+ } #end loop over periods for standard RV estimator
+ colnames(RVmatrix1) = paste("RV",periods,sep="");
+
+ # Aggregate and subselect y
+ if( h == 1 ){ y = RM1[(maxp+1):n]; }
+ if( h != 1 ){
+ y = matrix( nrow=length(RM1), ncol=1 ); colnames(y) = "y";
+ y[(h:n),] = rollmean(x=RM1,k=h,align="left");
+ y = matrix(y[((maxp+h):n),],ncol=1); y=as.data.frame(y) }
+
+ # Only keep useful parts:
+ x1 = RVmatrix1[(maxp:(n-h)),];
+
+ # TODO: add transformations here (srqr,log,..) see paper
+ if(nest==2){ # In case a jumprobust estimator is supplied
+ RVmatrix2 = matrix(nrow=n,ncol=nperiods);
+ for(i in 1:nperiods){
+ if(periods[i]==1){ RVmatrix2[,i] = RM2;
+ }else{ RVmatrix2[(periods[i]:n),i] = rollmean(x=RM2,k=periods[i],align="left") }
+ colnames(RVmatrix2) = paste("RV",periods,sep="");
+ x2 = RVmatrix2[(maxp:(n-h)),];
+ } #end loop over periods for robust RV estimator
+ }
+
+ # Estimate the model parameters, according to type of model :
+ # First model type: traditional HAR-RV:
+ if( type == "HARRV" ){
+ if(!is.null(transform)){ y = Ftransform(y); x1 = Ftransform(x1) }
+ model = estimhar(y=y,x=x1);
+ model$transform = transform; model$h = h; model$type = "HARRV"; model$dates = alldates[(maxp+h):n];
+ class(model) = c("harModel","lm");
+ return( model )
+ } #End HAR-RV if cond
+
+ if( type == "HARRVJ" ){
+ J = pmax( RM1 - RM2,0 ); #Jump contributions should be positive
+ J = matrix(J[(maxp:(n-h)),]); colnames(J) = "J";
+ x = cbind(x1,J); # bind jumps to RV data
+ if(!is.null(transform)){ y = Ftransform(y); x = Ftransform(x); }
+ model = estimhar(y=y,x=x);
+ model$transform = transform; model$h = h; model$type = "HARRVJ"; model$dates = alldates[(maxp+h):n];
+ class(model) = c("harModel","lm");
+ return( model )
+ }#End HAR-RV-J if cond
+
+ if( type == "HARRVCJ" ){
+ # Get the jumps:
+ J = pmax( RM1 - RM2,0 ); # Jump contributions should be positive
+ # Are the jumps significant? if not set to zero:
+ if( jumptest=="ABDJumptest" ){
+
+ TQ = apply.daily(data, TQfun);
+ teststats = ABDJumptest(RV=RM1,BPV=RM2,TQ=TQ );
+ }else{ jtest = match.fun(jumptest); teststats = jtest(data,...) }
+ Jindicators = teststats > qnorm(1-alpha);
+ J[!Jindicators] = 0;
+ J = matrix(J[(maxp:(n-h)),]); colnames(J) = "J"; Jindicators = Jindicators[(maxp:(n-h))];
+ # Get continuus components if necessary RV measures if necessary:
+ Cmatrix = matrix( nrow = dim(x1)[1], ncol = dim(x1)[2] );
+ Cmatrix[Jindicators,] = x2[Jindicators,]; #Fill with robust one in case of jump
+ Cmatrix[(!Jindicators),] = x1[(!Jindicators),]; #Fill with non-robust one in case of no-jump
+ colnames(Cmatrix) = paste("C",periods,sep="");
+
+ x = cbind(Cmatrix,J); # bind jumps to RV data
+ if(!is.null(transform)){ y = Ftransform(y); x = Ftransform(x); }
+ model = estimhar( y=y, x=x );
+ model$transform = transform; model$h = h; model$type = "HARRVCJ"; model$dates = alldates[(maxp+h):n];
+ class(model) = c("harModel","lm");
+ return(model)
+ }
+
+} #End function harModel
+
+ estimhar = function(y, x){ #Potentially add stuff here
+ colnames(y)="y";
+ output = lm( formula(y~x), data=cbind(y,x));
+ }
+
+ # Help function to get nicely formatted formula's for print/summary methods..
+ getHarmodelformula = function(x){
+ modelnames = colnames(x$model$x);
+ if(!is.null(x$transform)){
+
+ modelnames = paste(x$transform,"(",modelnames,")",sep=""); } #Added visual tingie for plotting transformed RV
+ betas = paste("beta",(1:length(modelnames)),"",sep="")
+ betas2 = paste(" + ",betas,"*")
+ rightside = paste(betas2, modelnames,collapse="");
+ h = x$h;
+ left = paste("RV",h,sep="");
+ if(!is.null(x$transform)){ left = paste(x$transform,"(",left,")",sep="" ) }
+ modeldescription = paste(left,"= beta0",rightside);
+ return(list(modeldescription,betas))
+ }
+
+ # Print method for harmodel:
+ print.harModel = function(x, digits = max(3, getOption("digits") - 3), ...){
+ formula = getHarmodelformula(x); modeldescription = formula[[1]]; betas = formula[[2]];
+
+ cat("\nModel:\n", paste(modeldescription, sep = "\n", collapse = "\n"),
+ "\n\n", sep = "")
+
+ coefs = coef(x);
+ names(coefs) = c("beta0",betas)
+
+ if (length(coef(x))){
+ cat("Coefficients:\n")
+ print.default(format(coefs, digits = digits), print.gap = 2,quote = FALSE);
+ cat("\n\n");
+ Rs = summary(x)[c("r.squared", "adj.r.squared")]
+ zz = c(Rs$r.squared,Rs$adj.r.squared);
+ names(zz) = c("r.squared","adj.r.squared")
+ print.default((format(zz,digits=digits) ),print.gap = 2,quote=FALSE)
+ }
+ else cat("No coefficients\n")
+ cat("\n")
+ invisible(x)
+ }
+
+ summary.harModel = function(object, correlation = FALSE, symbolic.cor = FALSE,...){
+ x=object;
+ dd = summary.lm(x);
+ formula = getHarmodelformula(x); modeldescription = formula[[1]]; betas = formula[[2]];
+ dd$call = modeldescription;
+ rownames(dd$coefficients) = c("beta0",betas);
+ return(dd)
+ }
+
+ plot.harModel = function(x, which = c(1L:3L, 5L), caption = list("Residuals vs Fitted",
+ "Normal Q-Q", "Scale-Location", "Cook's distance", "Residuals vs Leverage",
+ expression("Cook's dist vs Leverage " * h[ii]/(1 - h[ii]))),
+ panel = if (add.smooth) panel.smooth else points, sub.caption = NULL,
+ main = "", ask = prod(par("mfcol")) < length(which) && dev.interactive(),
+ ..., id.n = 3, labels.id = names(residuals(x)), cex.id = 0.75,
+ qqline = TRUE, cook.levels = c(0.5, 1), add.smooth = getOption("add.smooth"),
+ label.pos = c(4, 2), cex.caption = 1){
+ observed = x$model$y;
+ fitted = x$fitted.values;
+ dates = x$dates;
+ observed = xts(observed, order.by=dates);
+ fitted = xts(fitted, order.by=dates);
+ type = x$type;
+
+ g_range = range(fitted,observed)
+ g_range[1] = 0.95*g_range[1]; g_range[2]= 1.05 * g_range[2];
+ #ind = seq(1,length(fitted),length.out=5);
+ title = paste("Observed and forecasted RV based on HAR Model:",type);
+ plot.zoo(observed,col="red",lwd=2,main=title, ylim=g_range,xlab="Time",ylab="Realized Volatility");
+ # axis(1,time(b)[ind], format(time(b)[ind],), las=2, cex.axis=0.8); not used anymore
+ # axis(2);
+ lines(fitted,col="blue",lwd=2);
+ legend("topleft", c("Observed RV","Forecasted RV"), cex=0.8, col=c("red","blue"),lty=1, lwd=2, bty="n");
+}
+
+
\ No newline at end of file
Added: pkg/RTAQ/inst/doc/RTAQ_vignette.Rnw
===================================================================
--- pkg/RTAQ/inst/doc/RTAQ_vignette.Rnw (rev 0)
+++ pkg/RTAQ/inst/doc/RTAQ_vignette.Rnw 2012-05-21 03:15:05 UTC (rev 1028)
@@ -0,0 +1,4 @@
+%\VignetteIndexEntry{RTAQ_vignette}
+\documentclass{article}
+\begin{document}
+\end{document}
\ No newline at end of file
Added: pkg/RTAQ/inst/doc/RTAQ_vignette.pdf
===================================================================
--- pkg/RTAQ/inst/doc/RTAQ_vignette.pdf (rev 0)
+++ pkg/RTAQ/inst/doc/RTAQ_vignette.pdf 2012-05-21 03:15:05 UTC (rev 1028)
@@ -0,0 +1,3139 @@
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