Calculate Returns over Period of Time

Question

I\'m trying to get a time series of returns for holding a certain asset for a specific time.

My dataframe looks like this:

Date          Price
1998-01-01         


        

Answer 1

Sample Data

price <- matrix(c(20,22,21,25,25,19,20,30,28,25,26,27,30,32,31,30),ncol= 1);

Calculate 1 day Log Return

OneDayLogReturn <- c(diff(log(price)));

Calculate 10 days Log Return

TenDaysLogReturn <- c(diff(log(price),10))

results:

0.2623643 0.2047944 0.3566749 0.2468601 0.2151114 0.4567584

verify by :

for (i in 1:6) {print(log(price[10+i]/price[i]))}

Similarly, 20 Days return can be calculated using larger sample date and use

c(diff(log(price),20))

or in your case

c(diff(log(price$Return),20))