Re: [R] Manipulation in timeSeries object:how to use the function applySeries by daily?

2008-11-11 Thread stephen sefick
take a look at aggregate.zoo in the zoo package good luck Stephen On Mon, Nov 10, 2008 at 9:57 PM, tedzzx [EMAIL PROTECTED] wrote: 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

[R] Manipulation in timeSeries object:how to use the function applySeries by daily?

2008-11-10 Thread tedzzx
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: