How do I calculate log returns for stock prices?

32 次查看（过去 30 天）
Athirah Sabtu
Athirah Sabtu 2015-4-18
编辑： dpb 2015-4-20
I have the coding but I don't know how to do it.
for t=1:length(data)
Logreturn(t+1)=log(data(t+1))-log(data(t));
end
my data is for 10 years. so, t=1 or t=10?

请先登录，再回答此问题。

回答（1 个）

dpb
dpb 2015-4-19
编辑：dpb 2015-4-20
r=log(data(2:end./data(1:end-1));
Annualized is dependent upon what definition you want--the averaged annualized would then simply be
Ra=mean(r);
the annualized log return over the period is simply
Rp=log(data(end)/data(1))/length(data);
whereas the geometric ROR would be
Rg=(prod(1+r)^^1/length(data))-1;

类别

在 Help Center 和 File Exchange 中查找有关 Log Plots 的更多信息

标签

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by