Description Usage Arguments Details Value Author(s) See Also Examples
Calculate the k-period percent difference within one series, or between two series. Primarily used to calculate the percent change from one period to another of a given series, or to calculate the percent difference between two series over the full series.
1 |
x1 |
m x 1 vector |
x2 |
m x 1 vector |
k |
change over |
type |
type of difference. log or arithmetic (default). |
When called with only x1
, the one period percent change of the
series is returned by default. Internally this happens by copying
x1 to x2. A two period difference would be specified with k=2
.
If called with both x1
and x2
, the difference between
the two is returned. That is, k=0. A one period difference would be
specified by k=1
. k
may also be a vector to calculate
more than one period at a time. The results will then be an m x length(k)
Log differences are used by default: Lag = log(x2(t)/x1(t-k))
Arithmetic differences are calculated: Lag = (x2(t) - x1(t-k))/x1(t-k)
An matrix of length(x1)
rows and length(k)
columns.
Jeffrey A. Ryan
1 2 3 4 5 6 7 8 9 | Stock.Open <- c(102.25,102.87,102.25,100.87,103.44,103.87,103.00)
Stock.Close <- c(102.12,102.62,100.12,103.00,103.87,103.12,105.12)
Delt(Stock.Open) #one period pct. price change
Delt(Stock.Open,k=1) #same
Delt(Stock.Open,type='arithmetic') #using arithmetic differences
Delt(Stock.Open,Stock.Close) #Open to Close pct. change
Delt(Stock.Open,Stock.Close,k=0:2) #...for 0,1, and 2 periods
|
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.