[R] Computing day-over-day log return for a matrix containing multiple time series
Gabor Grothendieck
ggrothendieck at gmail.com
Mon Jun 7 11:19:42 CEST 2010
You can use diff.zoo like this:
library(zoo)
z <- zoo(matrix(1:24, 6))
z
diff(log(z))
# also try
diff(z, arith = FALSE) - 1
See ?diff.zoo
and read the three zoo vignettes (pdf documents):
vignette(package = "zoo") # lists them
vignette("zoo")
etc.
On Sun, Jun 6, 2010 at 11:11 PM, Anyi Zhu <anyi.zhu at gmail.com> wrote:
> Hi all,
>
>
>
> Thanks a lot for anyone's help in advance.
>
>
>
> I am trying to find a way to compute the day-to-day return (log return) from
> a n x r matrix containing, n different stocks and price quotes over r days.
> The time series of prices are already split by using unstack function.
>
>
>
> For the result, I would like to see a n x (r-1) matrix, where by each entry
> is the day-over-day return of each stock.
>
>
>
> I tried to look into the zoo package, however it seems to give only the
> plots but not the actual data.
>
>
>
> Would apply function work in this case?
>
>
>
> Thanks a lot!
>
>
> [[alternative HTML version deleted]]
>
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>
More information about the R-help
mailing list