Take a look at xts, a time series class that extends zoo and is compatible (forward and backwards) with all major time-series classes, including timeSeries from Rmetrics.
It has a few functions that may be of interest: ?endpoints ?period.apply It may also be useful to use the Fortran-based aggregation by time functions to turn your series into an OHLC series. See ?to.period quantmod also has a ?periodReturn function that may be of interest. Some examples of all the above can be found at http://www.quantmod.com http://www.quantmod.com HTH Jeff tedzzx 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 > 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--tp20432658p20443829.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.
