highfrequency (version 0.5)

makeReturns:

Description

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

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.