# Tag Info

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R package TTR has rolling window algorithms and understands day counting etc. It stands on the shoulders of xts (which extends zoo) and quantmod

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Perhaps this works : http://en.wikipedia.org/wiki/Geometric_standard_deviation In particular, see under "Derivation"

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For a random variable $\xi$, the variance is defined by $$mean\Big(\big(\xi -mean (\xi)\big)^2\Big).$$ Then the geometric variance should be defined by $$\prod_{i=1}^n\Bigg(1+ \bigg[x_i-\prod_{j=1}^n(1+x_j)^{1/n}\,\bigg]^2\, \Bigg)^{1/n}.$$ Addendum ---- The definition given in the link below is only a way of thinking. However, it does not provide a ...

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