stochvol: logret – R documentation

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logret

Computes the Log Returns of a Time Series

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

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

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

`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.

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

Efficient Bayesian Inference for Stochastic Volatility (SV) Models

v3.0.4

GPL (>= 2)

Authors

Darjus Hosszejni [aut, cre] (<https://orcid.org/0000-0002-3803-691X>), Gregor Kastner [aut] (<https://orcid.org/0000-0002-8237-8271>)

Initial release