[R-SIG-Finance] Skewness function for intraday data return distribution

[Roupell, Darko]

Hi All,

I have written a skew function to calculate stock skewness using intraday 5 min data. However, going through literature I have come across two very similar formulas, though they produce different skewness coefficient and wonder if anyone else has used similar formulas and know which one is the correct one.

mq_skewness = function(data){
data = dataformatc(data);
  #returns midquote log returns as xts object
  mq_ret = mq_return(data);  
  #returns midquote log returns as xts object
  mq_ret_sqr = mq_ret^2;
  #returns realized daily volatility as xts object
  RVar=sum(  mq_ret_sqr)
  n = length(mq_ret);
  
  #first formula to measure skewness 
  mq_skewness = sqrt(n) * (sum(mq_ret^3))/sum(mq_ret_sqr)^(2/3)
 
 # second formula to measure skewness 
  mq_skewness = sqrt(n) * sum((mq_ret/sqrt(RVar))^3)
  
  return(mq_skewness);
}

  #first formula to measure skewness 
  mq_skewness = sqrt(n) * (sum(mq_ret^3))/sum(mq_ret_sqr)^(2/3)
[1] 0.0003991095
  # second formula to measure skewness 
  mq_skewness = sqrt(n) * sum((mq_ret/sqrt(RVar))^3)
[1] 0.09759751
# this is output from base package function but this may not be appropriate to use for intraday data
skewness(mq_ret)
[1] 0.3035787
__________________________________________________
Darko Roupell 



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