daily_volatility

Advances in Financial Machine Learning, Snippet 3.1, page 44. Computes the daily volatility at intraday estimation points.

daily_volatility(price, span = 50)

Arguments

price	xts object with prices or data.table object with first column is of type POSIXct
span	used to calculate alpha parameter in exponential moving average

Value

data.table with Datetime and Value columns

Examples

data("spy")
daily_volatility(subset(spy, select = c("index", "close")))
#>                   Datetime        Value
#>     1: 2018-01-03 15:39:00 0.0009618423
#>     2: 2018-01-03 15:44:00 0.0010268916
#>     3: 2018-01-03 15:49:00 0.0011668355
#>     4: 2018-01-03 15:54:00 0.0012822868
#>     5: 2018-01-03 15:59:00 0.0013209074
#>    ---                                 
#> 57937: 2020-12-31 21:39:00 0.0026497390
#> 57938: 2020-12-31 21:44:00 0.0026380410
#> 57939: 2020-12-31 21:49:00 0.0026500808
#> 57940: 2020-12-31 21:54:00 0.0027022664
#> 57941: 2020-12-31 21:59:00 0.0027536503