logret {stochvol}

Computes the Log Returns of a Time Series

Description

logret computes the log returns of a time series, with optional de-meaning and/or standardization.

Usage

logret(dat, demean = FALSE, standardize = FALSE, ...)

## Default S3 method:
logret(dat, demean = FALSE, standardize = FALSE, ...)

Arguments

dat

The raw data.

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.

Value

Log returns of the (de-meaned / standardized) data.

Methods (by class)

• logret(default): Log returns of vectors