Displaying 3 results from an estimated 3 matches for "dailyreturn".
2010 Jun 04
5
R Newbie, please help!
Hello Everyone,
I just started a new job & it requires heavy use of R to analyze datasets.
I have a data.table that looks like this. It is sorted by ID & Date, there
are about 150 different IDs & the dataset spans 3 million rows. The main
columns of concern are ID, date, and totret. What I need to do is to derive
daily returns for each ID from totret, which is simply totret at time
2011 Dec 07
1
scatterplotting stock returns using quantmod and pairs()
...quot;,"ILF","EWJ","EPP","SAF","ASA")
AdjClosePrices <- do.call(merge, lapply(tickers, function(x) Ad(get(x)))) #get adjusted close prices
First try at getting returns and plotting:
AdjCloseReturns <- do.call(merge, lapply(tickers, function(x) dailyReturn(Ad(get(x))) ))
But the resulting pairs plot
pairs(data.matrix(AdjCloseReturns),cex=0.01)
has uninformative text "daily.returns" down the diag on the plot.
Second try at getting returns and plotting: using lapply instead
AdjCloseReturns <- lapply(AdjClosePrices,dailyReturn)
head(AdjClo...
2009 Jun 15
2
GARCH:: False Convergence
...R users,
I am trying to use tseries' garch function in order to determine the
volatility of a return series generated by quantmod. Here is the code that I
am using:
> library(quantmod)
> getSymbols("AAPL")
convert daily closing prices into continuous log returns
> dret<-dailyReturn(AAPL,type='log')
check to see that the autocorrelations decay
> acf(dret)
autocorrelations seem to oscillate to zero
load package tseries need for garch
> library(tseries)
run garch on the daily returns
> garch(dret)
When Garch runs there is false convergence, which leads me to di...