It's probably easiest to work with the code so here it is:
if( calc=="close" ) {
# Add univariate case from Cedrick Johnson's R-SIG-Finance post
if( NCOL(OHLC) == 1 ) {
r <- ROC(OHLC[, 1], 1, ...)
} else {
r <- ROC(OHLC[, 4], 1, ...)
}
s <- sqrt(N) * runSD(r , n-1)
}
Is runSD used correctly? To me the call should be: runSD(r, n=n,
sample=TRUE).
While at it, I would also like to have calc="close", but assuming zero mean
for the returns. In this case, the above becomes: sqrt(N) *
sqrt(runSum(r*r, n=n)/(n-1)). Is it ok if I add another method, like
calc="close.zero.mean"?
Thanks
[[alternative HTML version deleted]]
_______________________________________________
[email protected] mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should
go.
