Message-ID: <24807675.post@talk.nabble.com>
Date: 2009-08-04T12:41:09Z
From: ehxpieterse
Subject: Moving volatility
Hi,
I have found a function online to calculate moving volatility. I am aware of
addVolatility in the quantmod package, but that only adds the vol to a
graph. Does any one know if there exists a better function to use than the
one shown below? I find the current one quite slow when working with large
data sets.
movsd <- function(series,lag)
{
movingsd <- vector(mode="numeric")
for (i in lag:length(series))
{
movingsd[i] <- sd(series[(i-lag+1):i])
}
assign("movingsd",movingsd,.GlobalEnv)
}
to.dat <- as.Date(Sys.Date(), format="%m/%d/%y")
getSymbols("^GSPC", src="yahoo", from = "2000-01-01", to = to.dat)
CloseData <- Cl(GSPC)
x <- movsd(Delt(CloseData),40)
xx <- x*100
plot(xx, type="l")
--
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