Displaying 1 result from an estimated 1 matches for "intradayjumptest".
2020 Oct 10
2
highfrequency package-jump test
...rom = as.POSIXct("2020-08-20 09:30:00"),to = as.POSIXct("2020-08-20 15:59:00"),by='min')
data<-xts(x=data$PRICE,order.by=tm)
data <- as.data.table(data)
setnames(data,c('index'),c('DT'))
setnames(data,c('V1'),c('PRICE'))
LMtest <- intradayJumpTest(pData = data,volEstimator = "RM", driftEstimator = "none",RM = "bipower", lookBackPeriod = 20,on = 'minutes', k = 5, marketOpen = "09:30:00",marketClose = "15:59:00")
plot(LMtest)
However, the error is that ''Error in xy.coords(x, y...