logret.m

Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach" by Rafa&#322 Weron, p

function r=logret(x)
%LOGRET Logarithmic returns.
%	R=LOGRET(X) returns logarithmic returns of vector X.
%   For matrices the returns are taken along the first coordinate.

%   Written by Rafal Weron (2000.12.15, 2007.06.15)
%   Copyright (c) 2000-2007 by Rafal Weron

[l,m] = size(x);
r = log(x(2:l,:)./x(1:l-1,:));