let create a 'zoo' object :
library(zoo)
date.data = seq(as.Date("01/01/01", format = "%m/%d/%y"), as.Date("06/25/02",
format = "%m/%d/%y"), by = 1)
len = length(date.data)
data1 = zoo(matrix(rnorm(2*len), nrow = len), date.data )
head(data1)
Now I want to create an 3 dimensional array (suppose name " var.cov") where,
var.cov[,,i] gives the Variance-covariance matrix for i-th month of data1. That
is I want to calculate monthly variance-covariance matrix on non-overlapping
rolling window basis.
Any suggestion?
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