Returns {PRTest}R Documentation

Simple returns

Description

Computes the simple returns of a time series of asset prices

Usage

Returns(x, AnnualizedQ = FALSE, LoggedQ = FALSE, Period = 250)

Arguments

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.

Details

The simple returns or simple net returns are defined in eqn. (1.2) of Tsay (2002, p.2).

Value

time series of length n-1, where n=length(x)

Author(s)

A.I. McLeod

References

Tsay, R.S. (2002). Analysis of Financial Time Series. Wiley.

See Also

diff

Examples

data(DEXCAUS)
r<-Returns(DESCAUS)
qqnorm(r)

[Package PRTest version 1.0 Index]