Calculate Percent Change
Calculate the k-period percent difference within one series, or between two series. Primarily used to calculate the percent change from one period to another of a given series, or to calculate the percent difference between two series over the full series.
Delt(x1, x2 = NULL, k = 0, type = c("arithmetic", "log"))x1 |
m x 1 vector |
x2 |
m x 1 vector |
k |
change over |
type |
type of difference. log or arithmetic (default). |
When called with only x1, the one period percent change of the
series is returned by default. Internally this happens by copying
x1 to x2. A two period difference would be specified with k=2.
If called with both x1 and x2, the difference between
the two is returned. That is, k=0. A one period difference would be
specified by k=1. k may also be a vector to calculate
more than one period at a time. The results will then be an m x length(k)
Arithmetic differences are used by default: Lag = (x2(t) - x1(t-k))/x1(t-k)
Log differences are calculated: Lag = log(x2(t)/x1(t-k))
An matrix of length(x1) rows and length(k) columns.
Jeffrey A. Ryan
Stock.Open <- c(102.25,102.87,102.25,100.87,103.44,103.87,103.00) Stock.Close <- c(102.12,102.62,100.12,103.00,103.87,103.12,105.12) Delt(Stock.Open) #one period pct. price change Delt(Stock.Open,k=1) #same Delt(Stock.Open,type='arithmetic') #using arithmetic differences (default) Delt(Stock.Open,type='log') #using log differences Delt(Stock.Open,Stock.Close) #Open to Close pct. change Delt(Stock.Open,Stock.Close,k=0:2) #...for 0,1, and 2 periods
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