Log return of a timetable

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Ruben Moreno 2021-3-26

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https://ww2.mathworks.cn/matlabcentral/answers/784346-log-return-of-a-timetable

回答： dpb 2021-3-26

Hi, i have a timetable with 3 different adj.close prices for three stock indices. I want to calculate the log return of the timeseries for all three without doing it indivdually and loose the timetable, and the timetable has to be adjusted to delete the first date as this naturally has no return.

so far i have only managed to compute the returns of each one individually, but as mentioned i loose the timetable, how can i do this?

the timetable is called data and below you can see the code and each variables name.

logret_GDAXI = (diff(log(data.AdjClose_GDAXI)));
logret_GSPC = diff(log(data.AdjClose_GSPC));
logret_N225 = diff(log(data.AdjClose_N225));

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Answer 1

dpb 2021-3-26

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https://ww2.mathworks.cn/matlabcentral/answers/784346-log-return-of-a-timetable#answer_659251

在 MATLAB Online 中打开

To put the computed return at the end time point of the interval, augment the diff vector with a missing-value indicator---

data.logret_GDAXI=[nan;diff(log(data.AdjClose_GDAXI))];
data.logret_GSPC =[nan; diff(log(data.AdjClose_GSPC)];
data.logret_N225 =[nan; diff(log(data.AdjClose_N225)];

Needing to extend the length of a diff series is a very common occurrence to keep sizes same for indexing or other similar purposes.