ch01data {FinTS}R Documentation

financial time series for Tsay (2005, chapter 1[text])

Description

Financial time series used in examples in chapter 1.

Usage

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)

Format

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.

Details

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.

Source

http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2

References

Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley, ch. 1)

See Also

FinTS.stats

Examples

# 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"]))
) )


[Package FinTS version 0.3-9 Index]