Estimate Two Scale Realised Variance TSRV in Matlab?

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NS 2019-9-5

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https://ww2.mathworks.cn/matlabcentral/answers/479010-estimate-two-scale-realised-variance-tsrv-in-matlab

评论： Adam Danz 2019-9-6

realized_twoscale_variance.m

I need to estimate Two Scale Realised Variance using 1 min and 5 min data. Kindly suggest how to do the same in matlab? I am not able adjust the timescale as givin in TSRV in MFE Toolbox by Kevin Sheppard https://www.kevinsheppard.com/MFE_MATLAB .I have 1 minute data series with two colums - first column is DATETIME column given in format YYYY-mm-dd HH:MM:SS and second column is PRICE column. I have series for 2months. How to calculate TSRV for 1 min and 5 min series.

I have attached code file in Matlab.

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Adam Danz 2019-9-6

But you can pre-process your data so that it fits these requirements.

It's not difficult to transform minute data into seconds data.

It's very easy to get clock time from datetime.

There are lots of way to fill in outliers so your data are continuous across all minutes.

If your data are in cell format and the code requires a different format, that's a very common problem with lots of solutions.

These are all very common steps people take to transform their data so that it meets the requirements of a function. There are 3 options I can think of.

keep searching for a function that is designed to work with your data
write your own function that is designed to work with your data
transform your data so it works with the well-established function you already have.

I can assure you that option 1 is a very unlikely scenario. Option 2 might work if you are very familiar with the algorithms you need to implement. Option 3 is the most common option in data analysis.

My suggestion is to start transforming your data so it meets the requirements of the function and you can get lots of help with that in this forum and by googling these very common steps.