ch07data {FinTS} | R Documentation |
financial time series for Tsay (2005, chapter 7[text])
Description
Financial time series used in examples in chapter 7.
Usage
data(d.ibm6298wmx)
data(d.intc7297)
Format
- d.ibm6298wmx
- a zoo object of 9190 observations on several series relating to
IBM stock, 1962-07-03 to 1998-12-31:
- dailySimpleRtns
- daily simple returns in percentages of IBM stock
- day
- numbers 1:9190
- meanCorrectedLogRtns
- mean-corrected log returns
- Q4
- 1 for October, November, December, and 0 otherwise
- drop2.5pct
- an indicator variable for the behavior of the previous trading
day. Specifically, this is 1 if the meanCorrectedLogRtns for
the previous day was at most (-0.025).
- nOfLast5outside2.5pct
- number of the last 5 days for which the meanCorrectedLogRtns
exceeded +/-2.5
- annualTrend
- an annual trend defined as (year-1961)/38.
- GARCH1.1volatility
- a volatility series based on a Gaussian GARCH(1,1) model for
the mean-corrected log returns.
The simpleDailyRtns and the zoo index are from 'd-ibm6298.txt'
from the book's web site.
The 'day' and 'meanCorrectedLogRtns' are from 'd-ibmln98wm.txt'.
The last 5 columns are from 'd-ibml25x.txt'; they are described
on p. 332 of the book.
- d.intc7297
- a zoo object of daily log returns of Intel stock, 1972-12-15 to
1997-12-31
Source
http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2
References
Ruey Tsay (2005)
Analysis of Financial Time Series, 2nd ed. (Wiley, ch. 7)
See Also
ch01data
ch02data
ch03data
ch04data
ch05data
ch06data
[Package
FinTS version 0.3-9
Index]