data = read.csv("EURJPY.m14401.csv", header=T)
returns  = diff(log(data$C))
running.acf.max<-function(data=returns, window=100, nlags=5, plot=T, main=''){
  clevel<-qnorm(0.5+0.95/2)/sqrt(window)
  series<-rollapply(data=returns, window, align='right',by=1,function(w)
  {
    acfs<-pacf(coredata(w),lag.max=nlags,plot=F)$acf
    cum<-cumsum(acfs)
    low<-min(cum)
    high<-max(cum)
    if(abs(low)>abs(high))
      low
    else 
      high
  })
  if(plot)
  {
    plot(series,main=main,cex.axis=0.65,xlab='',ylab='acf(cum max)')
    abline(h=0,col='blue')
    abline(h=-clevel,col='red', lty=2)
    abline(h=clevel,col='red', lty=2)
  }
  invisible(series)
}
plot(running.acf.max)
plot(Vectorize(running.acf.max))