rolling_gpd: Rolling GPD
In MislavSag/mlfinance: Machine learning in finance

Function calculates GPD risk measures on rolling window from ptsuite pakcage.

rolling_gpd(
  prices_panel,
  row_index = 1:nrow(prices_panel),
  windows = c(200),
  workers = 4L,
  threshold = 0.03
)

`prices_panel`	a data.table object with coluimns: symbol, datetime, open, hogh, low, close, volume
`row_index`	row index for which to calculate radf values.
`windows`	Length of window for calculating forecasts on rolling window.
`workers`	Number of workers for parallel processing
`threshold`	threshold parameter for returns. Returns below/above this threshold will be input.