Process Market Returns

Advanced processing of market return data including outlier detection, volatility clustering analysis, and regime identification.

process_market_returns(returns, method = "standard", window_size = 20)

Arguments

returns

Matrix of asset returns

method

Character string specifying processing method ("standard", "robust", "garch")

window_size

Integer, rolling window size for calculations (default: 20)

Value

List containing processed returns and additional metrics

Examples

if (FALSE) { # \dontrun{
data <- load_market_data(c("AAPL", "MSFT"))
processed <- process_market_returns(data$returns, method = "robust")
} # }