calcSeriesVolatility: Calculate volatility of a series of indexes

In andykrause/hpiR: House Price Indexes

Calculate volatility of a series of indexes

Description

Calculates volatility over a (progressive) series of indexes

Usage

calcSeriesVolatility(
  series_obj,
  window = 3,
  smooth = FALSE,
  in_place_name = "volatility",
  ...
)

Arguments

series_obj	Series object to be calculated
window	default = 3; Rolling periods over which to calculate the volatility
smooth	default = FALSE; Also calculate volatility for smoothed indexes
in_place_name	name if saving in place
...	Additional Arguments

Value

'serieshpi' object

Further Details

Leaving order blank default to a moving average with order 3.

Examples

# Load example sales
 data(ex_sales)

 # Create Index
 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)

 # Create Series (Suppressing messages do to small sample size of this example)
 suppressMessages(
    hpi_series <- createSeries(hpi_obj = rt_index,
                               train_period = 12))

 # Calculate series volatility
 series_vol <- calcSeriesVolatility(series_obj = hpi_series,
                                    window= 3)

andykrause/hpiR documentation built on Feb. 2, 2024, 8:13 p.m.