calc_rolling_volatility: Calculate Rolling Volatility

In PortfolioTesteR: Test Investment Strategies with English-Like Code

Calculate Rolling Volatility

Description

Calculates rolling volatility using various methods including standard deviation, range-based, MAD, or absolute returns. Supports different lookback periods.

Usage

calc_rolling_volatility(data, lookback = 20, method = "std")

Arguments

data	Data frame with Date column and price columns
lookback	Number of periods for rolling calculation (default: 20)
method	Volatility calculation method: "std", "range", "mad", or "abs_return"

Value

Data frame with Date column and volatility values for each symbol

Examples

data("sample_prices_weekly")
# Standard deviation volatility
vol <- calc_rolling_volatility(sample_prices_weekly, lookback = 20)
# Range-based volatility
vol_range <- calc_rolling_volatility(sample_prices_weekly, lookback = 20, method = "range")

PortfolioTesteR documentation built on Nov. 5, 2025, 5:23 p.m.