ch01data {FinTS} | R Documentation |
Financial time series used in examples in chapter 1.
data(d.ibmvwewsp6203) data(d.intc7303) data(d.3m6203) data(d.msft8603) data(d.c8603) data(m.ibmvwewsp2603) data(m.intc7303) data(m.3m4603) data(m.msft8603) data(m.c8603) data(m.gs10) data(m.gs1) data(d.fxjp00) data(m.fama.bond5203) data(m.gs3) data(m.gs5) data(w.tb3ms) data(w.tb6ms)
Objects of class zoo giving simple returns for each trading period (day, week or month) for different periods, with different start dates but typically running to the end of 2003.
The first 16 of these objects contain daily and monthly simple returns for 8 financial time series analyzed Tsay (2005, Table1.2). These 8 are SP (Standard & Poors), EW, IBM, Intel, Microsoft, and Citi-Group, beginning at different times and running to the end of 2003.
The others are used elsewhere in chapter 1.
http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2
Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley, ch. 1)
# First half of Table 1.2: data(d.ibmvwewsp6203) data(d.intc7303) data(d.3m6203) data(d.msft8603) data(d.c8603) (Daily.Simple.Returns.pct <- rbind( SP = FinTS.stats(100*d.ibmvwewsp6203[, "SP"]), VW = FinTS.stats(100*d.ibmvwewsp6203[, "VW"]), EW = FinTS.stats(100*d.ibmvwewsp6203[, "EW"]), IBM= FinTS.stats(100*d.ibmvwewsp6203[, "IBM"]), Intel=FinTS.stats(100*d.intc7303[, "Intel"]), MMM= FinTS.stats(100*d.3m6203[, "MMM"]), MSFT=FinTS.stats(100*d.msft8603[, 'MSFT']), C = FinTS.stats(100*d.c8603[, "C"]) ) ) (Daily.log.Returns.pct <- rbind( SP = FinTS.stats(100*log(1+d.ibmvwewsp6203[, "SP"])), VW = FinTS.stats(100*log(1+d.ibmvwewsp6203[, "VW"])), EW = FinTS.stats(100*log(1+d.ibmvwewsp6203[, "EW"])), IBM= FinTS.stats(100*log(1+d.ibmvwewsp6203[, "IBM"])), Intel=FinTS.stats(100*log(1+d.intc7303[,"Intel"])), MMM= FinTS.stats(100*log(1+d.3m6203[, "MMM"])), MSFT=FinTS.stats(100*log(1+d.msft8603[, 'MSFT'])), C = FinTS.stats(100*log(1+d.c8603[, "C"])) ) )