Frequency conversion

[Dickson]

Hi, everyone!

I have intra-day hourly squared returns of a stock and I need to aggregate it in order to get daily, weekly and monthly RV. First, I would like to ask whether there is a way to do this directly in EView by applying somekind of a command on my hourly series. And also, is it possible to have in the same workfile series with different amount of observations (eg 5 observations for the weekly RV and 22 obs for the monthly RV) as I will have to include them all together into a regression.

Thank you!

[EViews Gareth]

http://www.eviews.com/Learning/freqconv.html

[Dickson]

Thanks Gareth, the tutorial is great :)

[Dickson]

A different problem comes up now, however. Once I've converted the series in different pages, how do I build a model using the series from each page? When I try to do it the regular way, I get "series not defined" for the series that are on a different page.

[EViews Gareth]

You can only use series on the same page. So you'll have to frequency convert them all to the same frequency.

[Dickson]

I am not sure whether this would work for me. Please excuse me for the question, but I am well withing the last hours of my deadline, and I need to estimate a model that I have attached to the comment. There, Rvt(d) is the daily realized volatility for a given period, Rvt(w) is the weekly (5 days) and Rvt(m) is the monthly (22) days.

I first imported the intraday hourly squared returns. Than following your advice I changed their frequencies in different pages so that I have Rvt(d), Rvt(w) and Rvt(m). But as I said, they are in different pages, which I guess means that the model won't work that way. Do you think there is a way to convert them in the same frequency, but still be able to represent them as Rvt(d), Rvt(w) and Rvt(m) in the equation? Or Is there any other way I can build this model in EViews?

Thank you for your help, Gareth!

[trubador]

http://forums.eviews.com/viewtopic.php? ... 767#p28205