Question

hey does anyone know how to loop through the MedRV function in the RTAQ package?
I have

##find days in data
ddx.f = endpoints(full, on="days");
days.full = format(index(full)[ddx.f], "%Y-%m-%d");

for (day in days.full) {
  x = full[day]

}

to extract each day but don’t know what to add to loop through the MedRV function per each day.
Any ideas? And also does anyone know is there a significance test in R to test for jumps?

Thanks in advance.

Answer 1

The idea is the same as your last question

Split the data into days, and apply a function to each day. Below split(dxts, "days") will create a list where each element is 1 day of data. lapply will apply a function to each day.

set.seed(123)
full <- .xts(rnorm(2880), 1:2880*5*60)
mrv <- lapply(split(full, "days"), function(x) {
    #return an xts-object, which requires a timeBased index
    xts(MedRV(x), end(x)) #use the last timestamp of the day
})

Then rbind the results into a single xts object

do.call(rbind, mrv)
#                         [,1]
# 1969-12-31 23:55:00  58.2340
# 1970-01-01 23:55:00 268.5672
# 1970-01-02 23:55:00 260.3016
# 1970-01-03 23:55:00 310.5664
# 1970-01-04 23:55:00 302.1562
# 1970-01-05 23:55:00 272.9567
# 1970-01-06 23:55:00 291.0333
# 1970-01-07 23:55:00 309.7571
# 1970-01-08 23:55:00 229.9853
# 1970-01-09 23:55:00 298.3878
# 1970-01-10 18:00:00 215.6014

Edit/Alternate syntax

mrv <- lapply(split(full, "days"), MedRV)
names(mrv) <- index(full)[endpoints(full, on="days")]
as.xts(do.call(rbind, mrv))