[R-SIG-Finance] Excessive data needed for volatility{TTR} calculation?

J Toll jctoll at gmail.com
Sat May 28 16:44:56 CEST 2011


On Sat, May 28, 2011 at 7:13 AM, Joshua Ulrich <josh.m.ulrich at gmail.com> wrote:
> Actually, because the first return in the moving window would always
> be NA, it should be:
> sqrt(N/(n-2)*sum((r[-1]-mean(r[-1]))^2))
> which yields the same result as:
> last(sqrt(N) * runSD(r, n-1))

I've been trying both lines of code and unfortunately I'm not getting
the same results.  The first line seems to only work properly for me
in those instances when NCOL(OHLC) = n.  For the more common situation
where NCOL(OHLC) > n, you would want a rolling window of vol
calculations.  I'm still thinking that the code should be:

s <- sqrt(N) * runSD(r, (n - 1))

As a frame of reference, I believe the output should be:
> getSymbols("SPY")
> tail(volatility(SPY))
2011-05-20 0.1206382
2011-05-23 0.1181380
2011-05-24 0.1095445
2011-05-25 0.1069024
2011-05-26 0.1068434
2011-05-27 0.1038008

I've manually calculated the value for 2011-05-27 using a spreadsheet
to confirm the value. I believe the other values to be correct also.

> After getting some sleep, it's clear that your initial solution (n-1)
> is correct.
> Your patch will be on R-forge shortly.  Many thanks again!
> Best,
> --
> Joshua Ulrich  |  FOSS Trading: www.fosstrading.com

You may want to hold off on a patch in the short term.  I still think
there might be an error in there.  I'm sorry to be such a nuisance
about this, but thanks so much for your help.


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