logret: Compute the log returns of a vector-valued time series

Description Usage Arguments Value

Description

logret computes the log returns of a multivariate time series, with optional de-meaning.

Usage

1
2
3
4
5
## S3 method for class 'matrix'
logret(dat, demean = FALSE, standardize = FALSE, ...)

## S3 method for class 'data.frame'
logret(dat, demean = FALSE, standardize = FALSE, ...)

Arguments

dat

The raw data, a matrix or data frame with n (number of timepoints) rows and m (number of component series) columns.

demean

Logical value indicating whether the data should be de-meaned.

standardize

Logical value indicating whether the data should be standardized (in the sense that each component series has an empirical variance equal to one).

...

Ignored.

Value

Matrix containing the log returns of the (de-meaned) data.


factorstochvol documentation built on Feb. 10, 2021, 1:07 a.m.