volatility {TTR}R Documentation

Volatility

Description

Selected volatility estimators/indicators; various authors.

Usage

  volatility(OHLC, n=10, calc="close", N=260, ...)

Arguments

OHLC Object that is coercible to xts or matrix and contains Open-High-Low-Close prices.
n Number of periods for the volatility estimate.
calc The calculation (type) of estimator to use.
N Number of periods per year.
... Arguments to be passed to/from other methods.

Details

Close-to-Close Volatility (close):
Historical volatility calculation using close-to-close prices.

OHLC Volatility: Garman Klass (garman.klass):
The Garman and Klass estimator for estimating historical volatility assumes Brownian motion with zero drift and no opening jumps (i.e. the opening = close of the previous period). This estimator is 7.4 times more efficient than the close-to-close estimator.

High-Low Volatility: Parkinson (parkinson):
The Parkinson formula for estimating the historical volatility of an underlying based on high and low prices.

OHLC Volatility: Rogers Satchell (rogers.satchell):
The Roger and Satchell historical volatility estimator allows for non-zero drift, but assumed no opening jump.

Value

A object of the same class as OHLC or a vector (if try.xts fails) containing the chosen volatility estimator values.

Author(s)

Josh Ulrich

References

The following site(s) were used to code/document these indicators:

Close-to-Close Volatility (close):
http://www.sitmo.com/eq/172
OHLC Volatility: Garman Klass (garman.klass):
http://www.sitmo.com/eq/402
High-Low Volatility: Parkinson (parkinson):
http://www.sitmo.com/eq/173
OHLC Volatility: Rogers Satchell (rogers.satchell):
http://www.sitmo.com/eq/414

See Also

See EMA, SMA, etc. for moving average options; and note Warning section. See TR for another volatility measure.

Examples

  data(ttrc)
  ohlc <- ttrc[,c("Open","High","Low","Close")]
  vClose <- volatility(ohlc, calc="close")
  vGK <- volatility(ohlc, calc="garman")
  vParkinson <- volatility(ohlc, calc="parkinson")
  vRS <- volatility(ohlc, calc="rogers")

[Package TTR version 0.2 Index]