computing-ewma-2.R

ewma.filter <- function(rets, lambda) {
  r2 <- (1 - lambda)*rets^2
  sqrt(filter(r2, lambda, "recursive", init=0))
}

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)) )
system.time( replicate(10000, ewma.filter(rets, lambda)) )