jReturn: Return Function

In jvnVaR: Value at Risk

Description

Compute returns from a price series of an asset.

Return is gain (or loss) rate from an investment to the asset in a time interval.

See the report: Value at Risk.<researchgate.net>

Usage

jReturn(s)

Arguments

s	A price series.

Value

A return series.

Note

[e-mail]

Author(s)

Hung Vu

See Also

https://www.researchgate.net/profile/Vu_Hung4

Examples

y <- c(11, 12, 10, 13, 12, 14, 13, 15, 13, 14, 12)
s <- jReturn(y)
s

Example output

 [1] -0.08333333  0.20000000 -0.23076923  0.08333333 -0.14285714  0.07692308
 [7] -0.13333333  0.15384615 -0.07142857  0.16666667

jvnVaR documentation built on May 1, 2019, 8:29 p.m.