getreturns: Calculate returns or log-returns for multivariate time series

In Techtonique/ahead: Time Series Forecasting with uncertainty quantification

Calculate returns or log-returns for multivariate time series

Description

Calculate returns or log-returns for multivariate time series

Usage

getreturns(x, type = c("basic", "log"))

Arguments

x	Multivariate time series
type	Type of return: basic return ("basic") or log-return ("log")

Value

The returns

Examples

returns <- getreturns(EuStockMarkets)
log_returns <- getreturns(EuStockMarkets,
                          type = "log")

par(mfrow=c(1, 3))
matplot(EuStockMarkets, type = 'l', main = "Closing Prices of \n European stocks (1991-1998)",
xlab = "time")
matplot(returns, type = 'l', main = "Returns", xlab = "time")
matplot(log_returns, type = 'l', main = "Log-returns", xlab = "time")

Techtonique/ahead documentation built on Nov. 24, 2024, 10:33 a.m.