Compute log-returns in a time series.

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User_asd User_asd
User_asd User_asd 2014 年 10 月 14 日
回答済み: Roger Wohlwend 2014 年 10 月 14 日
Dear users, I have a doubt with this operation. i need to compute a log-returns of a time-series, accourding to the formula (continuously compounded return):
r(t)=log[S(t)]-log[S(t-1)]
In other terms, i have a vector of prices, and i want to have a vector of log-return.
How to compute in Matlab?
Thanks in advance

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回答 (1 件)

Roger Wohlwend
Roger Wohlwend 2014 年 10 月 14 日
r = diff(log(S))

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