Hi,
Please could you help regarding the following error:
Error in [.xts
(data, , 2) : subscript out of bounds
This error appears in the package 'highfrequency' after running even the package's example from the documentation:
data("sample_5minprices_jumps");
data = sample_5minprices_jumps[,1];
data = makeReturns(data); #Get the high-frequency return data
x = harModel(data, periods = c(1,5,10), periodsJ=c(1,5,10),
-
RVest = c("rCov","rBPCov"), type="HARRVCJ",
-
transform="sqrt");
Thank you,
Ioana