Description Usage Arguments Details Value Author(s) Examples
Calculate realized volatility
1 | realizedVol(R, n)
|
R |
xts object of asset returns |
n |
number of periods used to calculate realized volatility |
Realized volatility is defined as the standard deviation of using the
previous n
periods.
xts object of realized volatility
Ross Bennett
1 2 3 4 5 | data(crsp_weekly)
R <- largecap_weekly[, 1]
# Calculate realized volatility
realizedVolatility <- realizedVol(R[,1], 10)
head(realizedVolatility)
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