[R-SIG-Finance] TTR Yang-Zhang volatility bug?

rex rex at nosyntax.net
Fri Mar 15 22:53:39 CET 2013


Joshua Ulrich <josh.m.ulrich at gmail.com> [2013-03-15 12:51]:
>What version of TTR are you using?  I may have already fixed this on R-Forge.

How do I tell? Trying to reinstall using:

> install.packages("TTR", repos="http://R-Forge.R-project.org", type="source")
package ‘TTR’ is not available (for R version 2.15.3)

So, I did:

svn co svn://svn.r-forge.r-project.org/svnroot/ttr/pkg ttr
A    ttr/R
A    ttr/R/adjRatios.R
[...]
A    ttr/man/WPR.Rd
A    ttr/NAMESPACE
Checked out revision 150.
cd ttr && R CMD INSTALL . && cd ..
* installing to library ‘/home/rex/R/x86_64-pc-linux-gnu-library/2.15’
* installing *source* package ‘TTR’ ...
** libs
gcc -std=gnu99 -I/usr/share/R/include -DNDEBUG   -I"/home/rex/R/x86_64-pc-linux-gnu-library/2.15/xts/include"   -fpic  -O2 -pipe -g  -c adjRatios.c -o adjRatios.o
[...]
installing to /home/rex/R/x86_64-pc-linux-gnu-library/2.15/TTR/libs
** R
** data
** preparing package for lazy loading
** help
*** installing help indices
** building package indices
** testing if installed package can be loaded

* DONE (TTR)
R

Now when I run the code it produces:
>  print(c('averageYZ', sumYZ/nWalks))
  #[1] "averageYZ"       "0.2277927327767"
>  print(c('averageCC', sumCC/nWalks))
  #[1] "averageCC"         "0.247154156449499"
> volYZ
              [,1]
2012-01-23 0.2255
2012-01-24 0.2259
2012-01-25 0.2240
2012-01-26 0.2217
2012-01-27 0.2192
2012-01-30 0.2172
2012-01-31 0.2188
2012-02-01 0.2198
2012-02-02 0.2276
2012-02-03 0.2279
2012-02-06 0.2270
2012-02-07 0.2229
2012-02-08 0.2279
2012-02-09 0.2275
2012-02-10 0.2386
2012-02-13 0.2437
2012-02-14 0.2502
2012-02-15 0.2484
2012-02-16 0.2554
2012-02-17 0.2584
2012-02-20 0.2550
2012-02-21 0.2476
2012-02-22 0.2422
2012-02-23 0.2384
2012-02-24 0.2377
> volCC
              [,1]
2012-01-20 0.3128
2012-01-23 0.3088
2012-01-24 0.2976
2012-01-25 0.3026
2012-01-26 0.3021
2012-01-27 0.3044
2012-01-30 0.3072
2012-01-31 0.3399
2012-02-01 0.3414
2012-02-02 0.3478
2012-02-03 0.3547
2012-02-06 0.2713
2012-02-07 0.2975
2012-02-08 0.2815
2012-02-09 0.2869
2012-02-10 0.3282
2012-02-13 0.3640
2012-02-14 0.3630
2012-02-15 0.3627
2012-02-16 0.3610
2012-02-17 0.3562
2012-02-20 0.3376
2012-02-21 0.3355
2012-02-22 0.3283
2012-02-23 0.2879
2012-02-24 0.3020

Much better!

However, shouldn't the two start on the same day since they have the same window size?

Thanks!

-rex
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