makeReturns: Compute log returns
In highfrequency: Tools for Highfrequency Data Analysis

Function returns an xts object with the log returns as xts object.

\mbox{log return}_t = (\log(\mbox{PRICE}_{t})-\log(\mbox{PRICE}_{t-1})).

1	makeReturns(ts);

`ts`	xts object

an xts object containing the log returns.

Note: the first (row of) observation(s) is set to zero.

Jonathan Cornelissen and Kris Boudt

highfrequency documentation built on May 2, 2019, 6:09 p.m.

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