Hi, all! I have a array of monthly log returns from 1962 to 2016, I wish to extract the monthly values, every 12th value.

Can andybody assist with this issue? How do I extract every 12th value?

Thanks!

[Ola Sveen]

I also wish to take the average of every 12th value. Eg. mean of 1-12, mean 12-24, mean 24 - 36. Anybody?

Answer 1

[KL]

data = 1:144; %sample data
data_mean = arrayfun(@(a,b) mean(data(a:b)),1:12:numel(data),12:12:numel(data))

[KL]

can you provide some sample data?

[Ola Sveen]

The mean function worked very well! Regarding the annual log return I can provide you with the data (monthly log returns) for the first three years. Inn all I have 56 years, og 660 monthly values.

1,39624469197306 1,36863942588117 1,34547236659964 1,35325450704169 1,36353737399727 1,38879124131848 1,38128181929635 1,38128181929635 1,36863942588117 1,36609165380237 1,35066718347674 1,34286480319255 1,36609165380237 1,36863942588117 1,37876609469910 1,36863942588117 1,38379123090177 1,39128190263093 1,38629436111989 1,40609698841607 1,41342302850814 1,41585316336144 1,41827740697294 1,42791603581071 1,42310833424261 1,43983512804792 1,44220199305819 1,43508452528932 1,42791603581071 1,43270073393405 1,43270073393405 1,43508452528932 1,43270073393405 1,42310833424261 1,43031124653667 1,43270073393405

[KL]

Can you attach the data as a text/mat file using the paperclip icon?

[Ola Sveen]

This is the dates and returns - not log_returns, but thats an easy operation

[KL]

What format are these dates are in? But anyway, when you say you have 660 monthly values and you want to have annual values, does it simply mean that you want to sum/mean every 12 values?

[Ola Sveen]

KL, i´m sorry for the late reply. Many thanks for your assistance. The task have developed some, and we want to sum every 12th value like you prepose, du you know how this is done?

[KL]

To sum every 12 rows, replace "mean" in my answer with "sum".

Answer 2

[Ola Sveen]

Thx KL!

Now I would like to extract annual log returns from a dataset containing prices and dates. Do you know how to solve this? I have calculated the monthly log returns, how do I calculate the annual. I guess I need some sort of loop function, taken in consideration the formula for log return.

many thanks