highfrequency (version 0.5.3)

makeReturns: Compute log returns

Description

Function returns an xts object with the log returns as xts object.

$${\text{log return}}_t=(\log ({\text{PRICE}}_t)-\log ({\text{PRICE}}_{t-1})).$$

Usage

makeReturns(ts);

Arguments

ts

xts object

Value

an xts object containing the log returns.

Details

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