Calculate Rolling Volatility

Calculate rolling (moving window) volatility.

Usage

calc_rolling_volatility(returns, window = 20, periods = 252, min_periods = 2)

Arguments

returns

Numeric vector of returns

window

Window size for rolling calculation

periods

Number of periods per year (default: 252)

min_periods

Minimum periods required for calculation (default: 2)

Value

Numeric vector of rolling volatility values

Examples

if (FALSE) { # \dontrun{
returns <- rnorm(100, 0.001, 0.02)
rolling_vol <- calc_rolling_volatility(returns, window = 20)
} # }