[R] dummy variable
ruipbarradas at sapo.pt
Sun Jul 22 14:45:42 CEST 2012
See if this is it.
returns <- rnorm(10)
dummy <- ifelse(returns < 0, -1, 0)
Hope this helps
Em 22-07-2012 08:53, saraberta escreveu:
> i need a little help! i must create a dummy variable to insert as external
> regressor in the variance equation of a garch model; this dummy is referred
> to the negative sign of returns of an asset, so it has to be 1 when returns
> are negative and 0 when they are positive, and in my model the dummy is
> multiplied by another time series, the daily range. (have i explained
> thank's a lot
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