logret: Computes the Log Returns of a Time Series

In stochvol: Efficient Bayesian Inference for Stochastic Volatility (SV) Models

Computes the Log Returns of a Time Series

Description

logret computes the log returns of a time series, with optional de-meaning and/or standardization.

Usage

logret(dat, demean = FALSE, standardize = FALSE, ...)

## Default S3 method:
logret(dat, demean = FALSE, standardize = FALSE, ...)

Arguments

dat	The raw data.
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

Log returns of the (de-meaned / standardized) data.

Methods (by class)

• logret(default): Log returns of vectors

stochvol documentation built on Nov. 27, 2023, 1:09 a.m.