search for: dailyreturns

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

I want to get data for a set of ticker symbols and compute the daily return of the adjusted close using quantmod, and then scatterplot returns using pairs(). The following gets data for the list of tickers: tickers <- c("SHY","TLT","SPY","IWM","GLD","IEV","ILF","EWJ","EPP","SAF","ASA")

Dear 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 >