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From daily prices to weekly returns
Posted: Sat Dec 19, 2015 5:02 am
by eirini
Hello,
i need some help. I have daily prices for some indexes and i want to calculate the weekly retuns from Wednesday to Wednesday for each of them . How cam i made it?
Thank you.
Re: From daily prices to weekly returns
Posted: Sat Dec 19, 2015 6:42 pm
by EViews Gareth
How are you defining the weekly return?
Re: From daily prices to weekly returns
Posted: Sat Dec 19, 2015 11:45 pm
by eirini
It is the change that happens in the level of index (price) from Wednesday to Wednesday and I will use to calculate it using
log(price t/price t-1).
Re: From daily prices to weekly returns
Posted: Sat Dec 19, 2015 11:48 pm
by EViews Gareth
Create a weekly page that starts on a Wednesday. Then copy the daily data over to the weekly page, using a match last frequency conversion method. Then do the calculation on the weekly data.