[R] reading and formating irregular time series for VaR

Gabor Grothendieck ggrothendieck at gmail.com
Sat Sep 9 15:27:02 CEST 2006

If you are using the zoo package and if we assume:
- your file contains a single time series and
- the last column is junk
then try this:

DF <- read.csv("myfile.dat")
z <- zoo(as.matrix(DF[2:7]), as.Date(DF[[1]]))

Read the documents at the end of
for more info.

On 9/9/06, Anupam Tyagi <AnupTyagi at yahoo.com> wrote:
> Hi, I am trying to read the following type of data from a .csv file to form an
> irregular time series object. I want to use it with the VaR package. How do I
> read it in correctly to an irregular time series object? Anupam.
> date,Open,High,Low,Close,Volume,OpenInterest,Contract
> 1972-08-16,54.25,54.25,54.25,54.25,1,1,KC1973H
> 1972-08-17,54.25,54.25,54.25,54.25,0,1,KC1973H
> 1972-08-18,54.25,54.25,54.25,54.25,0,1,KC1973H
> 1972-08-21,54.25,54.25,54.25,54.25,0,1,KC1973H
> 1972-08-22,54.25,54.25,54.25,54.25,0,1,KC1973H
> 1972-08-23,54.25,54.25,54.25,54.25,0,1,KC1973H
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