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It seems like we need to use "while" or "for" command,

The key problems are two:

1. how to sum up the daily r squart value.
2. how to store the estimated daily realized volatility.

hi, here is the new version: !start=0 if !start>=0 and !start<500 then series r smpl 1/04/2013+!start 1/04/2013+!start r=log(close)-log(close(-1)) series r2 r2=r*r series v v =@sum(r2) save series volatility !start=!start+1 else !start>=500 endif but the " if cycle" does not work, meanwhil...

hi, I try to program the realized volatility as the following ( assume these are 500 days need to be estimated): !start=0 if !start>=0 and !start<500, then smpl 1/04/2013+!start 1/04/2013+!start r=log(close)-log(close(-1)) r2=r*r v =sum(r2) save series volatility !start+1 else !start >=500 endif but...

hi, turbador, Thank you for your reply, but I still think the above program is not fully correct. In order to get realized volatility from daily high frequency data, I think we need to use "if language" to contorl the daily time rolling. The steps to calculate RV are the following: 1: calc...

hi, I do not quite understand the floowing Eviews sentence

"series r = nrnd/100" what does this sentence mean?

I attached the data in this reply, can you have a look and help me to estimate the daily realized volatility by using 5 mins interval close price?

thanks a lot

thank you trubador.

:D

Hi, can anyone write a code to calculate the following, I attached it in the word document. And this is the fomular to calculate the realized volatility.

Does anyone know how to perform a recursive cointegration test on Eviews 7?

Hi, currently I have minute to minute stock index futuresans spot return. I want to re-arrange the data. My original data is order as the following format: 4/19/2012 02:31 0.061260 4/19/2012 02:32 0.000000 4/19/2012 02:33 -0.038283 4/19/2012 02:34 -0.030637 ...... But I want to re-rerange it as foll...

Hi, thank you for these replies. I think we both can not understand each other percisely. :)
But still appreciate you effects to try to help.

Many Thanks

Thank you for your reply. Basically, there is no model. I want to test whether the average value of 5 mins interval can generally forecaste the other day's trend of 5 mins interval. According to the intraday periodicity characteristic, there should be a high forecast ability by using average, I gues...

Thank you for your helps, and I am wanding how to perform the following: we have already performed to calculate the average for the 5 mins interval. Some averages show positive, and others show negative. Then, suppose we only care about, on average, either the price go up or go down (either positive...

Thank you so much, the results are the exactly I need. Thank you again. :D

Sure, and here it is.

Maybe this is the reason to call the Diagonal BEKK, not the original BEKK. Due to reduce the amount of the coefficients. I guess.