Hi all
I have some tick-by-tick data and I have calculated the intraday returns. I
want to sum up the intraday squared returns to calculate the daily
volatility(or daily variance). I know that the s-plus FinMerics has the
function aggregateSeries function that can be apply to daily data:
aggregateSeries(x, Fun, by="daily"), but the counterpart function in
R:applySeries can not be apply to daily data. This function has the argument
by=c("monthly", "quartly").
Can we find some way to mimic the aggregateSeries function in s-plus?
Thanks in advance
Ted
--
View this message in context:
http://www.nabble.com/Manipulation-in-timeSeries-object%3Ahow-to-use-the-function-%22applySeries%22-by-daily--tp20432658p20432658.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.
