realized_volatility: Calculate the realized volatility for a transction price...
In hafen/nxcore: Utilities for working with NxCore data

Calculate the realized volatility for a transction price time-series

1	realized_volatility(price, interval = minutes(5), interval_const = 1)

`price`	and xts object containting transaction prices
`interval`	the window size to calculate realized volatility over. The default is 5 mintes.
`interval`	const the number of trading periods specified by the interval is the number of trading days in a year. It should be noted that this is only needed for calculations like realized volatility. For comparison of two stocks over the same intervals it is fine to leave this as 1.

data(aapl_fix)
ctp = consolidate_prices(aapl_fix$sys_date, aapl_fix$sys_time,
 aapl_fix$td_price, aapl_fix$td_size, date_format="%Y-%m-%d",
 time_format="%H:%M:%S")
rv = realized_volatility(ctp$price)
plot(rv)