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

From: tedzzx <zengzhenxing_at_gmail.com>
Date: Mon, 10 Nov 2008 18:57:44 -0800 (PST)

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


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