MATLAB: Daily Returns to Biweekly Returns

returns

Hi,

I have a big data set with daily return data. I would like to make them to biweekly returns. So my idea was to create a for loop which aggregates 10 daily returns to 1 biweekly return.

I think it's pretty easy but I can't figure out how to do it.

Thanks for help

Best Answer

If you're storing your data in a timetable array, use the retime function.

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MATLAB: Using todaily() without holidays

% Sample data
data     = [datenum(2012,10:13,1)',(1:4)'];
% Retrieve all days
dates    = (data(1):data(end,1))';
% Remove weekends and holidays
dates    = dates(isbusday(dates));
% Map longer ts to short 
[tf,loc] = ismember([year(dates)     month(dates)],...
                    [year(data(:,1)) month(data(:,1))],'rows');
% create fints 
out      = fints(dates,data(loc,2))

MATLAB: How to arrenge timeseries data

use sort?

 [~,indx] = sort(data(:,1));
 sortedData = data(indx,:);

Best Answer

Related Solutions

MATLAB: Using todaily() without holidays

MATLAB: How to arrenge timeseries data

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