Hi, I have the following code and am using R 2.7.2:
JIBqq <- (Jqrt.IB[2:length(Jqrt.IB)]/Jqrt.IB[1:(length(Jqrt.IB)-1)])-1
JIBqq <- cbind(zoo(JIBqq, Jqrt.time[2:length(Jqrt.time)]))
y.JIBqq <- merge(JIBqq,lag(JIBqq,-1))
> y.JIBqq
JIBqq lag(JIBqq, -1)
2004-06-30 0.003318909 NA
2004-09-30 -0.028536136 0.003318909
2004-12-31 0.011529924 -0.028536136
2005-03-31 0.066068689 0.011529924
2005-06-30 0.023462638 0.066068689
2005-09-30 -0.006443928 0.023462638
2005-12-31 -0.030541853 -0.006443928
2006-03-31 -0.057128956 -0.030541853
2006-06-30 -0.014534821 -0.057128956
2006-09-30 -0.030611132 -0.014534821
2006-12-31 0.020189061 -0.030611132
2007-03-31 0.009045381 0.020189061
2007-06-30 0.025034436 0.009045381
2007-09-30 0.032251184 0.025034436
2007-12-31 0.051555978 0.032251184
2008-03-31 0.001866808 0.051555978
2008-06-30 0.043680370 0.001866808
2008-09-30 0.031271730 0.043680370
y.JIBqq[,1][y.JIBqq[,1]> y.JIBqq[,2]]<-'up move'
y.JIBqq[,1][y.JIBqq[,1]< y.JIBqq[,2]]<-'down move'
> y.JIBqq
JIBqq lag(JIBqq, -1)
2004-06-30 0.00331890938117052 <NA>
2004-09-30 down move 0.00331890938117052
2004-12-31 up move -0.0285361360020099
2005-03-31 up move 0.0115299239240534
2005-06-30 down move 0.0660686892790183
2005-09-30 down move 0.0234626376481404
2005-12-31 -0.0305418525579293 -0.0064439280623304
2006-03-31 -0.0571289557443185 -0.0305418525579293
2006-06-30 up move -0.0571289557443185
2006-09-30 -0.0306111317173215 -0.0145348212173988
2006-12-31 up move -0.0306111317173215
2007-03-31 down move 0.0201890614449696
2007-06-30 up move 0.00904538134004018
2007-09-30 up move 0.0250344360146053
2007-12-31 up move 0.0322511838232158
2008-03-31 down move 0.0515559780138033
2008-06-30 up move 0.00186680815107398
2008-09-30 down move 0.0436803703122548
My question is why 2005-12-31, 2006-03-31, and 2006-09-30 do not take the
assigned character? I have done this same procedure with several other data and
have not run into this problem. Any help is appreciated.
Thanks,
Morgan K. Boyce
GPS - Quant Finance Analyst
Phone: 980-386-4074
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