Percentile of Price Changes (difference between two assets)
Last updated 9 November 2026
Function reference › Risk and Performance Measures › Percentile
1 GIAnalyzer function for Excel. Optional arguments are shown in [brackets].
GIA_RPM_PercentileChanges2
Returns the percentile of the differences between price changes of two assets over chosen time horizon (number of days) during a specified period, given historical daily prices.
GIA_RPM_PercentileChanges2(HDates1, HRates1, HDates2, HRates2, TimeInterval, Overlap, DaysNumber, WeekLastDay, PriceChangeCalc, Percentile, StartDate, EndDate, ExcludeFromDate, ExcludeToDate, CalcMethod)Returns: Percentile of the differences between price changes of two assets over chosen time horizon (number of days) during a specified period
| Argument | Use | Description |
|---|---|---|
HDates1 | Required | The array of dates of historical prices of asset 1. |
HRates1 | Required | The array of historical prices of asset 1. |
HDates2 | Required | The array of dates of historical prices of asset 2. |
HRates2 | Required | The array of historical prices of asset 2. |
TimeInterval | Required | Time period of the price changes (Days, Week, Month, Quarter, Year) |
Overlap | Required | Whether there is an overlap between dates (Yes, No) |
DaysNumber | Required | Number of days if the parameter TimeInterval is Days |
WeekLastDay | Required | The last day of the week if the parameter TimeInterval is Week (Sunday, Monday, Tuesday, Wednesday, Thursday, Friday) |
PriceChangeCalc | Required | Calculation type of the price change (Discrete, Continuous, Absolute). See the documentation for full description. |
Percentile | Required | The percentile value (the number between 0 and 1) |
StartDate | Required | The first date in the required period. |
EndDate | Required | The last date in the required period. |
ExcludeFromDate | Required | The first date in the period excluded from the required period. |
ExcludeToDate | Required | The last date in the period excluded from the required period. |
CalcMethod | Required | The percentile calculation method (Continuous, DiscreteNearest, DiscreteLow, DiscreteHigh). |