Tag Archives: Plotting

Looking out for volatility

Let’s do an easy experiment. Lets caluclate the 25-day rolling volatility of the S&P 500 from 2007 onwards.

1-Get the data:
getSymbols(‘SPY’,from=’2007/01/01′)

2-Run the volatility function from the package TTR (comes along with quantmod):
vol=volatility(SPY,n=25,N=252,calc=’close’)
#n=25 means we want 25 day rolling volatility. N=252 means we are taking a year as 252 days. calc=’close’ indicates that we want to calculate Close to Close volatility. If you look at the help page for the volatility function, there are several different calc=” parameters available.

3-We can now plot this using chartSeries(vol). Notice the huge spike in volatility in 2008.

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Three Important Functions for Plotting Data

1-chart.Histogram(returnVector, methods=c(“add.centered”, “add.rug”, “add.risk”)) #This gives the returns distributed in a Histogram,compared to the normal distribution and with the VaR provided.

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2-charts.PerformanceSummary(returnVector) #Very useful plot showing cumulative return, daily (or periodic) return and drawdown. Takes as input artihmetic returns under default settings. Change to log returns by setting geometric=F in the function call.

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3-chartSeries(priceVector) #I use this more for charting price movements than returns. This is a versatile and powerful function and can be used for all sorts of technical analysis. You can add a various technical indicators using the ‘TA=…’ parameter entry. Read up on it by entering ‘?chartSeries’

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