Locating peaks in zoo objects in one go
Try this:
require(xts) vix <- as.xts(VIX) vix[vix > 70]
Close 2008-10-17 70.33 2008-10-24 79.13 2008-10-27 80.06 2008-11-19 74.26 2008-11-20 80.86 2008-11-21 72.67
index(vix[vix > 70])
[1] "2008-10-17" "2008-10-24" "2008-10-27" [4] "2008-11-19" "2008-11-20" "2008-11-21" HTH, Josh -- http://quantemplation.blogspot.com http://www.fosstrading.com
On Thu, Mar 5, 2009 at 9:00 AM, Vorlow Constantinos <CVorlow at eurobank.gr> wrote:
Dear R users,
The following code will download the VIX volatility index to a variable
called "VIX" (what else)...
library(tseries)
VIX <- get.hist.quote("^VIX", start = "1990-01-01", quote = "Close")
Is there a way I could determine (in one go or iteratively), where the
peaks (local maxima) lie in the sequence
(say by using an arbitrary rule i.e., locate prices which are greater
than x% the sample's average or a certain value) ???
I would like to be able to capture the prices as well as their
time-stamps....
Thanks in advance &
Best regards,
Costas Vorlow
P Think before you print.
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