Rolling Standard Deviation in a Matrix in R

Question

Bellow is a stock daily returns matrix example (ret_matriz)

      IBOV        PETR4        VALE5        ITUB4        BBDC4        PETR3    
[1,]         


        

Answer 1

1) The apply part can be eliminated. We also use rollapplyr for brevity:

rollapplyr(ret_matriz, 5, sd, fill = 0)

2) Also rollmean is faster than rollapply so we could construct it from that using the formula sd = sqrt(n/(n-1) * (mean(x^2) - mean(x)^2)):

sqrt((5/4) * (rollmeanr(ret_matriz^2, 5, fill = 0) - 
              rollmeanr(ret_matriz, 5, fill = 0)^2))