[R-SIG-Finance] [R-sig-finance] Moving volatility

ehxpieterse eduard.pieterse at macquarie.com
Tue Aug 4 14:41:09 CEST 2009


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])


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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