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I tried to make the following function: function(x, y){ dates<-intersect(x[,1],y[,1]) m<-matrix(NA,length(dates),3) m[,1]<-dates j<-1 k<-1 for(i in fdax[,1]){ if(is.element(i,dates)){ m[j,3]<-as.numeric(fdax[k,2]) j<-j+1 } k<-k+1 } return(m) } When I try to import it into R with edit( file="name.txt",

Hello, I have a series of intraday (high-frequency) price data in the form of POSIX timestamp followed by the value. I sucesfuly loaded that into "its" package object. I would like to create from it a regularly spaced time series of prices (for example 1min, 5min, etc apart) so i could calcualte returns. There is an interpolation function locf() that for timestamp with value NA uses last

Does anyone know where I can find any tool for Windows that converts dates from ordinary formats into POSIX? I need it to import sime time series from Excel into R and use them with its package. Thanks!

If I understood correctly in irregular time series (its) objects, values are indexed by time stamps in POSIX format. But if I try to select the value of my time series corresponding to specific time stamp in the following way: x - its object i <- as.POSIXct("2006-05-19 15:30:00") x[i,] or x[i] or x[i,1] I get the error message: subscript out of bounds. If I use integers: x[1,1] it

I have a problem with garchFit fuction in fSeries package. I found the following reply on one of the R list: "GARCH-Modelling is not easy, and indeed for your dataset the default "Sequential Quadratic Programming" solver doesn't converge. I observed this also for some other time series. There is already an updated version on the server,

I used garchFit function to fit 1600 observations of EURO/USD 2-day returns in GARCH(1,1) model. As part of the summary I got warning message: NaNs produced in: sqrt(diag(fit$cvar)) And didn't get any estimates for 3 params' std.error, t value or probability: Error Analysis: Estimate Std. Error t value Pr(>|t|) mu -0.004827 0.020141 -0.240 0.811 ar1 0.010311