close_to_lreturn {fEGarch} | R Documentation |
Log-Return Calculation From Closing Prices
Description
Makes log-returns available from an input closing price series.
Usage
close_to_lreturn(close)
Arguments
close |
a closing price series as a numeric vector or some time series object
like |
Details
Let P_t
, t=1^,\dots,n
, be an observed closing price series. The function
returns
r_t = \ln{P_t}-\ln{P_{t-1}}
, t = 2,...,n.
Value
Returns the log-return series following the input close
. The output object
has one observation less than close
, but keeps potential time series
formatting.
Examples
# Assume SP500 + 100 was a closing price series,
# which it is not
close <- SP500 + 100
close_to_lreturn(close)
[Package fEGarch version 1.0.1 Index]