Hello, Im currently writing my bachelor thesis in statistical finance and i have run into a small problem. I want to evaluate forcasts from my GARCH with realized intraday volatility. The intraday data is Tick-data over a certain period. The date column is presented as for example 2011-11-01 09:24:41 for different points in time. The other column is with the stock prices at that same time. What I want to do is to recieve the end courses of certain time intervals. For example i want to know what the closing course if for every five minute or ten minute interval in the sample. In other words, i want to transform the tick-data into k-minute-interval data.
I have been trying to this in the following way: The data has been converted to a time serie and look likes: price 2011-11-01 08:00:00 0.000000000 2011-11-01 08:00:00 0.000000000 2011-11-01 08:02:00 0.000000000 2011-11-01 08:03:00 -0.017033339 2011-11-01 08:24:00 0.000000000 2011-11-01 08:24:00 0.000000000 2011-11-01 08:29:00 0.000000000 2011-11-01 08:29:00 0.000000000 2011-11-01 08:29:00 0.000000000 2011-11-01 08:29:00 0.000000000 2011-11-01 08:29:00 0.002166062 2011-11-01 08:44:00 0.000000000 2011-11-01 08:44:00 -0.002166062 2011-11-01 08:44:00 0.004321374 2011-11-01 10:36:00 0.010618976 2011-11-01 15:59:00 0.002092990 2011-11-01 16:21:00 0.000000000 2011-11-01 16:30:00 0.004155960 2011-11-02 08:00:00 0.000000000 2011-11-02 11:50:00 0.000000000 2011-11-02 13:38:00 -0.002073009 and so on for 108 days (this stock is a small cap company, and therefore the infrequent trading) I tried one coding option but it did not work even after much modification of the coding, so i need a new approach. An answer in coding would be much appreciated. -- View this message in context: http://r.789695.n4.nabble.com/Divide-tick-data-into-intervalls-tp4616873.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.