Aggregate to weekly, ending on Wednesdays

In this exercise, you will learn a general aggregation technique to aggregate daily data to weekly, but with weeks ending on Wednesdays. This is often done in stock market research to avoid intra-week seasonality.

You can supply your own end points to period.apply() (versus using endpoints()). Recall endpoints() returns locations of the last observation in each period specified by the on argument. The first and last elements of the result are always zero and the total number of observations, respectively. The end points you pass to period.apply() must follow this convention.

This exercise will use the daily Fed Funds data (DFF) from prior exercises.

Use .indexwday() to get the week days from the DFF index. Assign the result to index_weekdays.
Complete the command to find the locations of the Wednesdays in index_weekdays. Store the result in wednesdays.
Complete the command to make end_points follow the convention of endpoints() output.
Use period.apply() and end_points to aggregate DFF to weekly averages. Assign the result to weekly_mean.

Take Hint (-30 XP)

Exercise

Aggregate to weekly, ending on Wednesdays

Instructions