gistfile1.r

running.acf.max <- function(returns, window=100, nlags=5, plot=TRUE, main='')
{
  clevel <- qnorm (0.5 + 0.95/2) / sqrt(window)
  series <- rollapply(returns, window, align='right', by=1, function(w)
                      {
                        acfs <- pacf(coredata(w), lag.max=nlags, plot=FALSE)$acf
                        cum  <- cumsum(acfs)

                        low  <- min(cum)
                        high <- max(cum)
                        if (abs(low) > abs(high))
                          low
                        else
                          high
                      })

  if (plot)
  {
    plot(series, main=main, cex.axis=0.65, xlab='', ylab='acf (cum max)')
    abline(h=0, col='blue')
    abline(h=-clevel, col='red', lty=2)
    abline(h=clevel, col='red', lty=2)
  }

  invisible(series)
}