makeReturns

Function returns an xts object with the log returns as xts object.

$$\mbox{log return}_t =  (\log(\mbox{PRICE}_{t})-\log(\mbox{PRICE}_{t-1})).$$

The highfrequency package contains an extensive toolkit
        for the use of highfrequency financial data in R. It contains
        functionality to manage, clean and match highfrequency trades
        and quotes data. Furthermore, it enables users to: calculate
        easily various liquidity measures, estimate and forecast
        volatility, and investigate microstructure noise and intraday
        periodicity.

Jonathan Cornelissen

highfrequency

makeReturns function

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

makeReturns: Compute log returns

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Details