Aggregate daily data and merge with monthly data
Sometimes two series have the same periodicity, but represent timestamps differently. For example, monthly series may be timestamped with the first or last date of the month. This difference creates many NA
when series are merged. The yearmon
class from the zoo package helps solve this problem.
In this exercise, you will aggregate the FRED daily Fed Funds rate (DFF) to a monthly periodicity and merge it with the FRED monthly Fed Funds rate (FEDFUNDS).The DFF aggregate will be timestamped with the last day of the month, while FEDFUNDS is timestamped with the first day of the month.
The FEDFUNDS
and DFF
data have already been downloaded from FRED for you, using getSymbols(c("FEDFUNDS", "DFF"), src = "FRED")
.
This exercise is part of the course
Importing and Managing Financial Data in R
Exercise instructions
- Use
apply.monthly()
withmean()
to calculate the average of all days for each month. Assign the result tomonthly_fedfunds
. - Finish the command to use
as.yearmon()
to convert the index toyearmon
. - Create an object named
merged_fedfunds
by mergingFEDFUNDS
with the monthly aggregate you created in the first step. - Use
head()
to check the output ofmerged_fedfunds
.
Hands-on interactive exercise
Have a go at this exercise by completing this sample code.
# Aggregate DFF to monthly averages
# Convert index to yearmon
index(___) <- ___(index(___))
# Merge FEDFUNDS with the monthly aggregate
# Look at the first few rows of the merged object