Estimate Two Scale Realised Variance TSRV in Matlab?
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Hi
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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