Computing EWMA in R using two different approaches: loop and functional. Clearly functional approach is more efficient.

computing-ewma.R

ewma.func <- function(rets, lambda) {
	sig.p <- 0
	sig.s <- vapply(rets, function(r) sig.p <<- sig.p*lambda + (r^2)*(1 - lambda), 0)
	return(sqrt(sig.s))
}

ewma.loop <- function(rets, lambda) {
	n <- length(rets)+1
	sig.s <- rep(0, n)
	for (i in 2:n) {
		sig.s[i] <- sig.s[i-1]*lambda + (rets[i-1]^2)*(1 - lambda)
	}
	return(sqrt(tail(sig.s, n-1)))
}


lambda <- 0.94
rets <- 0.02*rnorm(100)
system.time( replicate(10000, ewma.loop(rets, lambda)) )
system.time( replicate(10000, ewma.func(rets, lambda)) )