Rollapply for time series

Question

I am trying to calculate the rolling 20 period historical volatility. I take the daily returns:

ret<-ROC(data1)

And then I use rollapply to

Answer 1

I recommend runner function in runner package to apply any R function on rolling windows. Below runner output identical to zoo.

library(runner)

runner(
  x, 
  function(x) sd(x),
  k = 20, 
  na_pad = TRUE
)

---

runner can reproduce zoo output and also have options like handling unequally spaced data and other (for more go to documentation and vignettes for more).

library(runner)
library(zoo)

x <- c(0.000000000, 0.005277045, 0.023622047, 0.002564103,-0.002557545, -0.020512821,
       0.007853403,-0.012987013,  0.007894737,  0.015665796,  0.000000000, -0.002570694,
       0.002577320, -0.015424165, 0.002610966,  0.010416667,  0.002577320,  0.015424165, 
       0.000000000, -0.002531646, -0.002538071, 0.030534351,  0.014814815, -0.007299270,
       -0.009803922, -0.012376238,  0.002506266, -0.015000000,-0.002538071,  0.002544529)

identical(
  runner(x, sd, k = 20, na_pad = TRUE),
  rollapply(x, 20, sd, fill = NA, align = "right")
)

# centered alignment
identical(
  runner(x, sd, k = 20, lag = -10, na_pad = TRUE),
  rollapply(x, 20, sd, fill = NA, align = "center")
)