计算并绘制R中股票市场的每小时/每日/月平均波动率？

Question

Here's what I'm trying to accomplish in R: - Calculate and plot average volatility per hour/day/month for stock markets (or single quotes) - Calculate and plot average returns per hour/day/month for stock markets (or single quotes).

Basically I'm trying to determine things like "Trading day of the week" and "what's the time of the day with the highest trading volatility?".

Any explanation, link to functions or concepts I should be looking is very much appreciated!

Thanks and regards, Dirk

Answer 1

You should probably start by having a look at the CRAN empirical finance taskview: http://cran.r-project.org/web/views/Finance.html

In particular, the quantmod package will do some of what you are asking for: http://cran.r-project.org/web/packages/quantmod/index.html

Quantmod has a very useful website with many examples: http://www.quantmod.com/examples/intro/