search for: cursethiscur

I think the code is part of the RTAQ package but is not included in it, as I obtained it from https://r-forge.r-project.org/scm/viewvc.php/pkg/RTAQ/R/HAR_model.R?view=markup&root=blotter&sortby=author&pathrev=1028. It is not my code and I make no claim to other's good work, and apologize if I should even be posting it I am not sure, but in the transform function it allows to

I am working with xts dependent data, and my code is as follows (the problem is explained throughout): dat <- getdat("prices") dat <- read.zoo(dat, sep = "",format="%d/%m/%Y %H:%M", tz="", FUN=NULL, regular=TRUE, header=TRUE, index.column=1, colClasses=c("character", "numeric")) dat <- as.xts(dat)

I am trying to write a loop to forecast realized volatility over successive days for the purpose of VaR prediction using the HAR-RV-CJ model which is as follows: log(RV_t+1) = ?_0 + ?_CD log(CV_t) + ?_CW log(CV_t-5) + ?_CM log(CV_t-22) + ?_JD log(J_t) + ?_JW J_t-5 + ?_JM J_t-22 + e_t where RV is realized volatility, CV is continuous volatility and J is the jump which is RV - CV, _t is

I am trying to write a loop to forecast realized volatility over successive days for the purpose of VaR prediction using the HAR-RV-CJ model which is as follows: log(RV_t+1) = ?_0 + ?_CD log(CV_t) + ?_CW log(CV_t-5) + ?_CM log(CV_t-22) + ?_JD log(J_t + 1) + ?_JW log(J_t-5 + 1) + ?_JM log(J_t-22 + 1) + e_t where RV is realized volatility, CV is continuous volatility and J is the jump which is