factorstochvol (version 1.1.0)

logret: Compute the log returns of a vector-valued time series

Description

logret computes the log returns of a multivariate time series, with optional de-meaning.

Usage

# S3 method for matrix
logret(dat, demean = FALSE, standardize = FALSE, ...)
# S3 method for data.frame
logret(dat, demean = FALSE, standardize = FALSE, ...)

Value

Matrix containing the log returns of the (de-meaned) data.

Arguments

dat

The raw data, a matrix or data frame with n (number of timepoints) rows and m (number of component series) columns.

demean

Logical value indicating whether the data should be de-meaned.

standardize

Logical value indicating whether the data should be standardized (in the sense that each component series has an empirical variance equal to one).

...

Ignored.