Description Usage Arguments Author(s)
Calculates the volatility of a spread
1 2 |
spread |
A price series on which you want to compute the hourly volatility measure over a specified period of time |
type |
The type of volatility to compute. Valid selections are Diff and PBands |
.combine |
A boolean that sets if we want to merge the periods and return the mean of the rolling vol measures over those periods. |
dPeriod |
The number of days used to compute the hourly volatility. Default is set to NA and should be used when selecting PBands type |
dFast |
The number of days for the pbands fast moving average |
dSlow |
The number of days for the pbands slow moving average |
Helena Ristov
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