R (programming language)

Divide tick-data into intervalls



Hello,

Im currently writing my bachelor thesis in statistical finance and i have run into a small problem. I want to evaluate forcasts from my GARCH with realized intraday volatility. The intraday data is Tick-data over a certain period. What I want to do is to recieve the end courses of certain time intervals. For example i want to know what the closing course if for every five minute or ten minute interval in the sample. In other words, i want to transform the tick-data into k-minute-interval data.

I have been trying to this in the following way:

The data has been converted to a time serie and look likes:

price
2011-11-01 08:00:00 0.000000000
2011-11-01 08:00:00 0.000000000
2011-11-01 08:02:00 0.000000000
2011-11-01 08:03:00 -0.017033339

and so on for 108 days (this stock is a small cap company, and therefore the infrequent trading)...