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

You can use TTR::runSD instead.

library(quantmod)
getSymbols("SPY")
spy <- apply(ROC(SPY), 2, runSD, n=5)
# head(spy)
#         SPY.Open    SPY.High     SPY.Low   SPY.Close SPY.Volume SPY.Adjusted
# [1,]          NA          NA          NA          NA         NA           NA
# [2,]          NA          NA          NA          NA         NA           NA
# [3,]          NA          NA          NA          NA         NA           NA
# [4,]          NA          NA          NA          NA         NA           NA
# [5,]          NA          NA          NA          NA         NA           NA
# [6,] 0.004369094 0.003112967 0.001064232 0.005035266  0.1577499  0.005063025

Answer 2

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))