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Average Intraday data
Posted: Fri May 06, 2016 6:52 am
by High
I have EURUSD 30 minute data from 0:00-23:30 2005 to 2016 >>> i want to average this data from 0.00-23.30 in everyday
How can i do it
***i want to see percentage change between 0:00-23:30 from 2005 to 2016
so i can use this data to implies volatility in intraday
** I have 137K observations . i want to shape them into 48 Observations
Re: Average Intraday data
Posted: Fri May 06, 2016 8:22 am
by EViews Gareth
A little tricky because we don't have good function handling for 30 minute intervals. But:
Code: Select all
series min = @datepart(@date, "min")
series hour = @hour
pagecreate(page=myaverages) u 48
series min = 0
smpl if @mod(@trend,2)=1
min = 30
smpl @all
series hour = @floor(@trend/2)
copy Untitled\Y myaverages\* @src "hour min" @dest "hour min"
Where the untitled\Y in the copy command should be replaced by the name of your existing page and the series you want to average.
Re: Average Intraday data
Posted: Fri May 06, 2016 9:33 am
by High
Oh it's so tricky @@ Thx Mr.gareth
but it said "Unable to perform Matched Merge - Some of the specified
series do not yet exist or are of the wrong type"
the idea was great >>> But @@ im so new
My series is Exchange rate price Quote Ex 1.3056 start at 1/10/2005 02:30 (Monday) to 03/04/2016 23:30
Workfile structure
Date specified by date series >>>>>> Observeation Frequency Intraday 30 minutes Mon 0:00 to Sun 23:59
Re: Average Intraday data
Posted: Fri May 06, 2016 9:55 am
by EViews Gareth
Post the workfile.
Re: Average Intraday data
Posted: Fri May 06, 2016 10:44 am
by High
Sorry my file is too large
I just reduce the size of it
Re: Average Intraday data
Posted: Fri May 06, 2016 11:01 am
by EViews Gareth
My bad, the copy line should be:
Code: Select all
copy Untitled\Y myaverages\* @src hour min @dest hour min
i.e. remove the quotes.
Re: Average Intraday data
Posted: Fri May 06, 2016 11:15 am
by High
it's worked million thx Gareth ><