Financial Time Series

Create Return Series

Now calculate the return series from the stock price data. A stock return is calculated by dividing the difference between the current closing price and the previous closing price by the previous closing price.

tret = (t0.Spot - lagts(t0.Spot, 1)) ./ lagts(t0.Spot, 1);
tret = chfield(tret, 'Spot', 'Return');

Ignore any warnings you receive during this sequence. Since the operation on the first line above preserves the data series name Spot, it has to be changed with the chfield command to reflect the contents correctly.

Adjust Closing Prices and Make Them Spot Prices

Regress Return Series Against Metric Data