Available Estimators

Code Description
bv Bipower Variation (5-min)
bv_ss Bipower Variation (5-min Sub-sampled)
close_price Closing (Last) Price
close_time Closing Time
medrv Median Realized Variance (5-min)
nobs Number of Observations
open_price Opening (First) Price
open_time Opening Time
open_to_close Open to Close Return
rk_parzen Realized Kernel Variance (Non-Flat Parzen)
rk_th2 Realized Kernel Variance (Tukey-Hanning(2))
rk_twoscale Realized Kernel Variance (Two-Scale/Bartlett)
rsv Realized Semi-variance (5-min)
rsv_ss Realized Semi-variance (5-min Sub-sampled)
rv10 Realized Variance (10-min)
rv10_ss Realized Variance (10-min Sub-sampled)
rv5 Realized Variance (5-min)
rv5_ss Realized Variance (5-min Sub-sampled)