(oops, forgot to cc. the list)
On Jul 29, 2011, at 08:09 , Ashim Kapoor wrote:
> Dear R-helpers,
>
> In the following example I compute ret and returns the SAME way. In ret I
> use compute returns for EACH column and in returns I do it for the whole
> data frame. Could someone please tell me why I see a lagged result,by which
> I mean ret and returns are different by one lag.
>
>
> getSymbols("GOOG",src="yahoo")
> ret<-apply(GOOG,2,function(x) diff(log(x)) / lag(x,1) )
> returns<-diff(log(GOOG))/lag(GOOG,1)
> tail(ret)
> tail(returns)
Well, first of all: This is an issue with contributed packages (at least
quantmod, xts) and you should tell us so. Secondly, you also forgot to tell us
about the warning about recycling, which is a pretty strong hint about what is
going on. It is against your own interests to leave readers guessing like that.
In essence, diff'ed _vectors_ are one element shorter than the lagged ones, so
the ratio will recycle the first diff into the last position (and create
garbage). diff.xts tries to be smarter and pads the differences with NA so that
this doesn't happen. Notice that if you just remove the last element instead of
lagging x, then you do indeed get the same results (save for a line of NA at
the top)
> tail(apply(GOOG,2,function(x)diff(log(x))/x[-1152]))
GOOG.Open GOOG.High GOOG.Low GOOG.Close
2011-07-21 -2.262875e-05 1.432963e-05 -3.784855e-06 3.252347e-05
2011-07-22 3.188905e-05 3.065345e-05 2.882942e-05 3.022824e-05
2011-07-25 2.160452e-05 1.532645e-05 2.373743e-05 1.961091e-06
2011-07-26 1.241901e-05 5.334479e-06 1.119182e-05 9.213213e-06
2011-07-27 -2.279176e-06 -1.672208e-05 -3.306823e-05 -3.997397e-05
2011-07-28 -3.178693e-05 -1.294157e-05 -4.791985e-06 1.005828e-05
GOOG.Volume GOOG.Adjusted
2011-07-21 1.988491e-07 3.252347e-05
2011-07-22 4.835664e-09 3.022824e-05
2011-07-25 -3.379734e-08 1.961091e-06
2011-07-26 -9.265378e-08 9.213213e-06
2011-07-27 2.212510e-07 -3.997397e-05
2011-07-28 -5.989484e-08 1.005828e-05
> tail(diff(log(GOOG))/lag(GOOG,1))
GOOG.Open GOOG.High GOOG.Low GOOG.Close
2011-07-21 -2.262875e-05 1.432963e-05 -3.784855e-06 3.252347e-05
2011-07-22 3.188905e-05 3.065345e-05 2.882942e-05 3.022824e-05
2011-07-25 2.160452e-05 1.532645e-05 2.373743e-05 1.961091e-06
2011-07-26 1.241901e-05 5.334479e-06 1.119182e-05 9.213213e-06
2011-07-27 -2.279176e-06 -1.672208e-05 -3.306823e-05 -3.997397e-05
2011-07-28 -3.178693e-05 -1.294157e-05 -4.791985e-06 1.005828e-05
GOOG.Volume GOOG.Adjusted
2011-07-21 1.988491e-07 3.252347e-05
2011-07-22 4.835664e-09 3.022824e-05
2011-07-25 -3.379734e-08 1.961091e-06
2011-07-26 -9.265378e-08 9.213213e-06
2011-07-27 2.212510e-07 -3.997397e-05
2011-07-28 -5.989484e-08 1.005828e-05
--
Peter Dalgaard, Professor,
Center for Statistics, Copenhagen Business School
Solbjerg Plads 3, 2000 Frederiksberg, Denmark
Phone: (+45)38153501
Email: pd....@cbs.dk Priv: pda...@gmail.com
"Døden skal tape!" --- Nordahl Grieg
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