On Wed, Jul 1, 2009 at 6:22 AM, Andriy Fetsun<fetsun at googlemail.com> wrote: > Hi, > > 1.) I am trying to calculate the autocorrelation function for returns based > on rolling window, but it doesn't work. > > My code is > > rollapply(Returns,20,acf). That's because acf returns a list. Try this: rollapply(z, 20, function(x) acf(x)$acf)