Violin Plots of Volatility

Posted on Mi 30 März 2011 in misc • 1 min read

  • R Statistics tags: [] meta: _edit_last: '1' dsq_thread_id: '266575890' author:

    I came across a fantastic R script from blogger Milk Trader.  It's about generating something called violin plots of volatility for the S&P500 index and the VIX, which he got from this CBOE paper.  I took that script a bit further and added in one of my current trend positions, $ARLP, just for fun.

    The plot is essentially a "combination of a box plot and a kernel density plot" and shows us the absolute value of volatility (negative returns are represented as positive) on the y axis.

    A very simple R code (you can get it on his site) with a great visual impact.  Great job Milk Trader!

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