simpleVolatility: Simple Volatility

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

Description

This function calculates the volatility of asset returns using a simplified equation.

Usage

simpleVolatility(R)

Arguments

R	xts or zoo object of asset returns

Details

This function is different from sd in two ways.

• simpleVolatility uses a denominator of n.

• simpleVolatility assumes the mean to be zero.

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

Examples

data(crsp_weekly)
R <- largecap_weekly[,1:4]
simpleVolatility(R[,1])
simpleVolatility(R)

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