I was trying to verify how well the lag-returns are calculated from ROC function in TTR package.
Following is the code that I am using:
When I print the numbers for adjusted prices from above and do an excel calculation of 10 day lagging returns, I get different numbers. The numbers are however same for 1 day lag returns.
10 day lag return from ROC function:
10 day lag return from excel:
So, why do the numbers do not match. If I increase the number of decimal places displayed, the difference is more perceptible.
Or am I doing something wrong?
Thanks guys
Following is the code that I am using:
Code:
library(quantmod)
library(TTR)
startDate = "2001-01-01"
endDate = "2013-12-01"
getSymbols("VXX",src="yahoo",return.class='xts',from=startDate, to=endDate)
Adjusted = VXX$VXX.Adjusted
head(ROC(Adjusted,n=10),n=20)
head(Adjusted,n=20)When I print the numbers for adjusted prices from above and do an excel calculation of 10 day lagging returns, I get different numbers. The numbers are however same for 1 day lag returns.
10 day lag return from ROC function:
HTML:
1/30/2009 NA
2/2/2009 NA
2/3/2009 NA
2/4/2009 NA
2/5/2009 NA
2/6/2009 NA
2/9/2009 NA
2/10/2009 NA
2/11/2009 NA
2/12/2009 NA
2/13/2009 -0.025
2/17/2009 0.027
2/18/2009 0.085
2/19/2009 0.082
2/20/2009 0.134
2/23/2009 0.200
2/24/2009 0.084
2/25/2009 0.027
2/26/2009 0.052
2/27/2009 0.056
HTML:
1/30/2009 1673.28
2/2/2009 1668
2/3/2009 1589.92
2/4/2009 1595.84
2/5/2009 1586.08
2/6/2009 1563.2
2/9/2009 1589.28
2/10/2009 1673.6
2/11/2009 1649.12
2/12/2009 1644.16
2/13/2009 1631.84 -0.022
2/17/2009 1713.44 0.078
2/18/2009 1731.52 0.085
2/19/2009 1732.48 0.092
2/20/2009 1813.12 0.160
2/23/2009 1910.08 0.202
2/24/2009 1729.28 0.033
2/25/2009 1719.2 0.042
2/26/2009 1736.32 0.056
2/27/2009 1738.72 0.065Or am I doing something wrong?
Thanks guys