(This article was first published on

**Trading and travelling and other things » R**, and kindly contributed to R-bloggers)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.

To

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