Calculate the rolling standard deviation of a time series

Another common requirement when working with time series data is to apply a function on a rolling window of data. xts provides this facility through the intuitively named zoo function rollapply().

This function takes a time series object x, a window size width, and a function FUN to apply to each rolling period. The width argument can be tricky; a number supplied to the width argument specifies the number of observations in a window. For instance, to take the rolling 10-day max of a series, you would type the following:

rollapply(x, width = 10, FUN = max, na.rm = TRUE)

Note that the above would only take the 10-day max of a series with daily observations. If the series had monthly observations, it would take the 10-month max. Also note that you can pass additional arguments (i.e. na.rm to the max function) just like you would with apply().

Using rollapply(), calculate the 3-month standard deviation of the eq_mkt series. Note that eq_mkt has monthly observations. Call your 3-month rolling standard deviation eq_sd.

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Exercise

Calculate the rolling standard deviation of a time series

Instructions