R/stdevwind.R

In seungbochoi/private_Rpackage: Stockanalysis

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library(roxygen2)
#' rolling standard deviation function
#'
#' @param stockreturns
#' @return anualized volatility
#' @export
#' @examples stdevwind(stock1)
#' @details this will calculated the standard deviation based on sliding window.Also, it will return the annulized standard deviation based on market live day out of 365 days in a year. calculate adjusted window frame for anualized version of sliding window based standard deviation
stdevwind = function(returns)
{
  st_dev_df = c()
  for (i in 253:dim(returns)[1])
  {
    wind = window(returns, start = time(returns)[i-251], end = time(returns)[i])
    stdv = StdDev.annualized(wind, scale  = 252)
    st_dev_df = rbind(st_dev_df,stdv)

  }
  st_dev_df = xts(st_dev_df, order.by = time(returns)[253:length(time(returns))])

  return(st_dev_df)

}