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Where to Find a Multi-Scale Realized Volatility Estimator

Article Quant Q&A · Author: Always Right Never Left
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Summary

The document asks which R software implements the multi-scale realized volatility estimator, distinguishing it from the two-scale realized volatility estimator and realized kernel methods available in a cited package. The response says it is not aware of an R package that implements the multi-scale estimator and points instead to an implementation in Kevin Sheppard's MFE Toolbox for MATLAB.

The practical takeaway is that researchers seeking this estimator may need to translate the MATLAB implementation into R, using its source code as a reference. The note does not explain the estimator's formula, statistical properties, assumptions, or performance relative to alternatives. It also gives no independent package survey or evidence that the software situation remains current, so the answer should be treated as a limited report of package availability rather than a general guide to realized-volatility estimation.

Key ideas

  • Multi-scale realized volatility is distinct from two-scale realized volatility and realized kernel estimators.
  • The response reports no known R package implementing the multi-scale estimator.
  • It identifies a MATLAB implementation in the MFE Toolbox as a possible source for an R translation.
  • The note addresses software availability rather than estimator theory or comparative performance.
  • Its package information is limited to the responder's knowledge and may become outdated.

Tags

VolatilityStatisticsHigh-frequency trading
Full text
# MSRV estimation in R


# MSRV estimation in R












What are the R packages that let you estimate Multi Scale Realized Volatility (MSRV)? So far I've only found highfrequency (which comes with Realized Kernel as well), but from what I understand it only has Two Scale Realized Volatility (TSRV) estimator.

## Answer by Malick (score 2, accepted)

https://quant.stackexchange.com/a/22009

I'm not aware of a R package implementing the MSRV, however you can find its implementation in the Kevin Sheppard MFE Toolbox (Matlab). You’ll have to translate it for R . (the source code is available)

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.