hpiR (version 0.2.0)

calcVolatility: Calculate index volatility

Description

Create estimate of index volatility given a window

Usage

calcVolatility(index, window = 3, in_place = FALSE,
  in_place_name = "volatility", smooth = FALSE, ...)

Arguments

index

An object of class `hpiindex`

window

default = 3; Rolling periods over which to calculate the volatility

in_place

default = FALSE; Adds volatility metric to the `hpiindex` object (may be within an `hpi` object)

in_place_name

default = 'vol'; Name of volatility object in `hpiindex` object

smooth

default = FALSE; Calculate on the smoothed index?

...

Additional arguments

Value

an `indexvolatility` (S3) object, the 'index' slot of which is a `ts` object

roll

volatility at each rolling point

mean

overall mean volatility

median

overall median volatility

Further Details

You may also provide an `hpi` object to this function. If you do, it will extract the `hpiindex` object from the `index` slot in the `hpi` class object.

Examples

# NOT RUN {
 # Load Data
 data(ex_sales)

 # Create index with raw transaction data
 rt_index <- rtIndex(trans_df = ex_sales,
                     periodicity = 'monthly',
                     min_date = '2010-06-01',
                     max_date = '2015-11-30',
                     adj_type = 'clip',
                     date = 'sale_date',
                     price = 'sale_price',
                     trans_id = 'sale_id',
                     prop_id = 'pinx',
                     estimator = 'robust',
                     log_dep = TRUE,
                     trim_model = TRUE,
                     max_period = 48,
                     smooth = FALSE)

 # Calculate Volatility
 index_vol <- calcVolatility(index = rt_index,
                             window = 3)

# }