close_to_lreturn: Log-Return Calculation From Closing Prices

In fEGarch: SM/LM EGARCH & GARCH, VaR/ES Backtesting & Dual LM Extensions

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 "ts" or "zoo" ordered chronologically.

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)

fEGarch documentation built on Sept. 11, 2025, 5:11 p.m.