Hi,
I am trying in R to indicate in which quintile a value of a variable is for
every month of my data frame in this case based on volatility. For each
month I want to know for each stock if it is in the most volatile quintile
of if it is in one of the others.
So far I have come up with the following function (see below).
Unfortunately, the function only works in some cases and often gives the
following error:
Error in cut.default(df$VOLATILITY, unique(breaks), label = FALSE, na.rm
=TRUE):
invalid number of intervals
Could you give me some advice on how to improve this code so that it works
properly.
It's relatively urgent. Many thanks!
quintilesVolByMonth <- function(x){
months<-as.vector(unique(x$DATE))
dfx<-data.frame()
for(n in seq(1,length(months))){
num<-5
print(paste("Appending month",months[n],sep=""))
df<-subset(x,DATE==months[n])
breaks<-quantile(df$VOLATILITY,probs=seq(0,1, 1/num),na.rm=TRUE)
df$volquintile <- cut(df$VOLATILITY,unique(breaks),
label=FALSE, na.rm=TRUE)
dfx<-rbind(dfx,df)
}
return(dfx)
}
Frame.Quintile <- quintilesVolByMonth(x)
Example of data: (I have 30 years of monthly data for over 1000 stocks)
Variable 'VolQuintile' is what I am trying to get.
DATE STOCK VOLATILITY VolQuintile
01/01/1990 STOCK 1 0.3
1
01/01/1991 STOCK 2 0.15
4
01/05/1992 STOCK 3 0.1
3
.
[[alternative HTML version deleted]]
______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
