Hello! i have been given a task to find monthly log return time series and then aggregate each to an annual log return series. but every code i use, follows with an error. how do i convert the data to annual the easiest possible way?

This is the code i used to find monthly log returns:

RFRmonthly = readtable('22RFR-monthly.xlsx');
RFRmonthly.Properties.VariableNames{1} = 'Time';
RFRmonthly.Properties.VariableNames{2} = 'Index';
RFR_Monthly = 2 * log(RFRmonthly.Index./ lagmatrix(RFRmonthly.Index,1));

Answer 1

[Jeremy Hughes]

Should one of these be Time?

log(RFRmonthly. Index./ lagmatrix(RFRmonthly. Index,1));

[Khuzaima Ahmad]

No, its the log of index devided by lagmatrix of index

Answer 2

[Peter Perkins]

If the question is, "how do i convert the data to annual the easiest possible way?", the answer is to import using readtable (Check!) then convert using table2timetable and call retime with 'yearly' as the new time basis. I guess you want to get the last value in each year, or interpolate; I don't thnk you want to aggregate in the sense of sum. So something like

ttAnnual = retime(ttMonthly,'yearly','lastvalue')

but I'm just guessing. The I guess you'd lag that, divide the original price by the lagged price, and log.

I believe that the Financial Toolbox has a function called tick2ret, if you have access to that.