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jonathancornelissen / highfrequency

The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to manage, clean and match highfrequency trades and quotes data. Furthermore, it enables users to: calculate easily various liquidity measures, estimate and forecast volatility, and investigate microstructure noise and intraday periodicity.
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How to choose a suitable realized volatility estimator #85

Closed fecet closed 2 years ago

fecet commented 2 years ago

Sorry, this can be a silly question. As there are so many realized measures in highfrequency, how to know which one is better and should be used in practice? Is there a function to tell us the "predicted accuracy" or something else?

Any help I would appreciate, thank you for your great work.

onnokleen commented 2 years ago

Hi fecet, unfortunately there is no good way of giving general advice. There are different estimators for different needs that may also perform differently on different data sets :) @kboudt I think this issue can also be closed?