daily_volatility: daily_volatility
In MislavSag/mlfinance: Machine learning in finance
Description
Usage
Arguments
Value
Examples
Description
Advances in Financial Machine Learning, Snippet 3.1, page 44.
Computes the daily volatility at intraday estimation points.
Usage
1
daily_volatility(price, span = 50)
Arguments
price
data.table or data.frame object with first column is of type POSIXct
span
used to calculate alpha parameter in exponential moving average
Value
data.table with Datetime and Value columns
Examples
1
2
data("spy")
daily_volatility(subset(spy, select = c("index", "close")))
MislavSag/mlfinance documentation built on Sept. 14, 2021, 1:11 p.m.
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Description Usage Arguments Value Examples
Description
Advances in Financial Machine Learning, Snippet 3.1, page 44. Computes the daily volatility at intraday estimation points.
Usage
1 | daily_volatility(price, span = 50)
|
Arguments
price |
data.table or data.frame object with first column is of type POSIXct |
span |
used to calculate alpha parameter in exponential moving average |
Value
data.table with Datetime and Value columns
Examples
1 2 | data("spy")
daily_volatility(subset(spy, select = c("index", "close")))
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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