R: function: Create Dummy Day-of-Week Variable

WeekDayDummy-methods {rugarch}

R Documentation

function: Create Dummy Day-of-Week Variable

Helper function to create a dummy, day of the week variable given a set of dates.

WeekDayDummy(Dates, date.format, weekday = "Monday")

`Dates`	A character vector of dates .
`date.format`	The format of the dates e.g. “%Y-%m-%d"” .
`weekday`	Character string indicating day of week.

A numeric vector of 0s and 1s (date-dummy variable)/

Alexios Ghalanos

data(sp500ret)
Dates=rownames(sp500ret)
# create Monday dummy
monday=WeekDayDummy(Dates, date.format="%Y-%m-%d", weekday = "Monday")

[Package rugarch version 1.0-10 Index]