How does R calculate realized variance and bipower variance and how can I reproduce results in Excel?

General
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Hello!

I need help understanding how does R calculate realized variance and bipower variance in highfrequancy package. I am trying to identify days in my data in which price jump occur using Barndorff-Nielsen and Shephard test. However, even though R gives me solution I don't quite understand the formula it uses and I would like to reproduce results in excel as well. I'm using rCov and rBPCov functions. My data set is made of stock prices every minute for 63 days. Thank you for your help!

RV=rCov(data.xts,alignBy="minutes",alignPeriod=1,makeReturns=TRUE)

BP=rBPCov(data.xts,alignBy="minutes",alignPeriod=1,makeReturns=TRUE)

1 Like
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Checking highfrequency/realizedMeasures.R at master · jonathancornelissen/highfrequency · GitHub shall answer your question.

Regards,
Grzegorz

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Thank you for your help!
Could you tell me is it possible to extract returns that R calculates in makeReturns=TRUE? I want to alignPeriod to be 7 minutes, so I'm wondering can I somehow see returns that R makes and takes into calculations for realized variance?

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