[R-SIG-Finance] Excessive data needed for volatility{TTR} calculation?
J Toll
jctoll at gmail.com
Sat May 28 01:52:00 CEST 2011
Hi,
I have been using the volatility function from the TTR package and I
noticed something that I thought was a bit unusual. I expected that I
should be able to calculate the default 10-day volatility using the
close estimator starting with 10 or maybe 11 days of data. That's not
what I found. It appears that 18 days of data is necessary to
calculate a 10-day volatility. For example:
> getSymbols("SPY")
[1] "SPY"
> volatility(tail(SPY, 10), n = 10, calc = "close", N = 260)
Error in `[.xts`(x, beg:(n + beg - 1)) : subscript out of bounds
> volatility(tail(SPY, 11), n = 10, calc = "close", N = 260)
Error in `[.xts`(x, beg:(n + beg - 1)) : subscript out of bounds
> volatility(tail(SPY, 18), n = 10, calc = "close", N = 260)
[,1]
2011-05-03 NA
2011-05-04 NA
2011-05-05 NA
- edited for brevity -
2011-05-23 NA
2011-05-24 NA
2011-05-25 NA
2011-05-26 0.09481466
Stranger still (at least to me), it appears that 38 days worth of data
is necessary to start calculating a 20-day volatility.
> volatility(tail(SPY, 37), n = 20, calc = "close", N = 260)
Error in `[.xts`(x, beg:(n + beg - 1)) : subscript out of bounds
> volatility(tail(SPY, 38), n = 20, calc = "close", N = 260)
[,1]
2011-04-04 NA
2011-04-05 NA
2011-04-06 NA
- edited for brevity -
2011-05-23 NA
2011-05-24 NA
2011-05-25 NA
2011-05-26 0.1088309
58 days of data is necessary for a 30-day volatility calculation.
>From looking at the code for the volatility function, I'm not seeing
why so much additional data is needed to calculate the volatility.
Does anybody have an idea of why so much additional data is necessary?
Thanks.
James
R version 2.13.0 (2011-04-13)
Copyright (C) 2011 The R Foundation for Statistical Computing
ISBN 3-900051-07-0
Platform: x86_64-apple-darwin9.8.0/x86_64 (64-bit)
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