calcVolatility: Calculate index volatility

In hpiR: House Price Indexes

Description

Create estimate of index volatility given a window

Usage

calcVolatility(index, window = 3, in_place = FALSE,
  in_place_name = "volatility", smooth = FALSE, ...)

Arguments

index	An object of class 'hpiindex'
window	default = 3; Rolling periods over which to calculate the volatility
in_place	default = FALSE; Adds volatility metric to the 'hpiindex' object (may be within an 'hpi' object)
in_place_name	default = 'vol'; Name of volatility object in 'hpiindex' object
smooth	default = FALSE; Calculate on the smoothed index?
...	Additional arguments

Value

an ‘indexvolatility' (S3) object, the ’index' slot of which is a 'ts' object

roll

volatility at each rolling point

mean

overall mean volatility

median

overall median volatility

Further Details

You may also provide an 'hpi' object to this function. If you do, it will extract the 'hpiindex' object from the 'index' slot in the 'hpi' class object.

Examples

 # Load Data
 data(ex_sales)

 # Create index with raw transaction data
 rt_index <- rtIndex(trans_df = ex_sales,
                     periodicity = 'monthly',
                     min_date = '2010-06-01',
                     max_date = '2015-11-30',
                     adj_type = 'clip',
                     date = 'sale_date',
                     price = 'sale_price',
                     trans_id = 'sale_id',
                     prop_id = 'pinx',
                     estimator = 'robust',
                     log_dep = TRUE,
                     trim_model = TRUE,
                     max_period = 48,
                     smooth = FALSE)

 # Calculate Volatility
 index_vol <- calcVolatility(index = rt_index,
                             window = 3)

hpiR documentation built on April 1, 2020, 5:09 p.m.