rollSimpleVolatility: Rolling Simple Volatility Estimate

In GARPFRM: Global Association of Risk Professionals: Financial Risk Manager

Description

This function calculates the simple volatility estimate of asset returns over a rolling window.

Usage

rollSimpleVolatility(R, width)

Arguments

R	xts or zoo object of asset returns
width	width of rolling window

Details

The simple volatility of x is defined as

σ = √{\frac{1}{n} ∑_{i=1}^n x_i^2}

Author(s)

Ross Bennett

See Also

sd, simpleVolatility

Examples

data(crsp_weekly)
R <- largecap_weekly[,1:2]
tail(rollSimpleVolatility(R, 10))

GARPFRM documentation built on May 2, 2019, 5:45 p.m.