Hi, 1.) I am trying to calculate the autocorrelation function for returns based on rolling window, but it doesn't work. My code is rollapply(Returns,20,acf). 2.) My next try is rollapply(Returns_2,20,cor) Error in FUN(cdata[st, i], ...) : supply both 'x' and 'y' or a matrix-like 'x' Thank you in advance! -- Best regards, Andy [[alternative HTML version deleted]]
On Wed, Jul 1, 2009 at 6:22 AM, Andriy Fetsun<fetsun at googlemail.com> wrote:> Hi, > > 1.) I am trying to calculate the autocorrelation function for returns based > on rolling window, but it doesn't work. > > My code is > > rollapply(Returns,20,acf).That's because acf returns a list. Try this: rollapply(z, 20, function(x) acf(x)$acf)