Returns {PRTest} | R Documentation |
Computes the simple returns of a time series of asset prices
Returns(x, AnnualizedQ = FALSE, LoggedQ = FALSE, Period = 250)
x |
vector of time series prices |
AnnualizedQ |
should series be annualized, ie. multiplied by Period |
LoggedQ |
should logged form of returns be used |
Period |
for daily set to 250; for monthly 12, etc. |
The simple returns or simple net returns are defined in eqn. (1.2) of Tsay (2002, p.2).
time series of length n-1, where n=length(x)
A.I. McLeod
Tsay, R.S. (2002). Analysis of Financial Time Series. Wiley.
data(DEXCAUS) r<-Returns(DESCAUS) qqnorm(r)