GoldSilver: Gold and Silver Prices

In AER: Applied Econometrics with R

Gold and Silver Prices

Description

Time series of gold and silver prices.

Usage

data("GoldSilver")

Format

A daily multiple time series from 1977-12-30 to 2012-12-31 (of class "zoo" with "Date" index).

gold

spot price for gold,

silver

spot price for silver.

Source

Online complements to Franses, van Dijk and Opschoor (2014).

https://www.cambridge.org/us/academic/subjects/economics/econometrics-statistics-and-mathematical-economics/time-series-models-business-and-economic-forecasting-2nd-edition

References

Franses, P.H., van Dijk, D. and Opschoor, A. (2014). Time Series Models for Business and Economic Forecasting, 2nd ed. Cambridge, UK: Cambridge University Press.

Examples

data("GoldSilver", package = "AER")

## p.31, daily returns
lgs <- log(GoldSilver)
plot(lgs[, c("silver", "gold")])

dlgs <- 100 * diff(lgs) 
plot(dlgs[, c("silver", "gold")])

## p.31, monthly log prices
lgs7812 <- window(lgs, start = as.Date("1978-01-01"))
lgs7812m <- aggregate(lgs7812, as.Date(as.yearmon(time(lgs7812))), mean)
plot(lgs7812m, plot.type = "single", lty = 1:2, lwd = 2)

## p.93, empirical ACF of absolute daily gold returns, 1978-01-01 - 2012-12-31
absgret <- abs(100 * diff(lgs7812[, "gold"]))
sacf <- acf(absgret, lag.max = 200, na.action = na.exclude, plot = FALSE)
plot(1:201, sacf$acf, ylim = c(0.04, 0.28), type = "l", xaxs = "i", yaxs = "i", las = 1)


## ARFIMA(0,1,1) model, eq. (4.44)
library("longmemo")
WhittleEst(absgret, model = "fARIMA", p = 0, q = 1, start = list(H = 0.3, MA = .25))

library("forecast")
arfima(as.vector(absgret), max.p = 0, max.q = 1)


## p.254: VAR(2), monthly data for 1986.1 - 2012.12
library("vars")

lgs8612 <- window(lgs, start = as.Date("1986-01-01"))
dim(lgs8612)

lgs8612m <- aggregate(lgs8612, as.Date(as.yearmon(time(lgs8612))), mean)
plot(lgs8612m)
dim(lgs8612m)

VARselect(lgs8612m, 5)
gs2 <- VAR(lgs8612m, 2)

summary(gs2)
summary(gs2)$covres

## ACF of residuals, p.256
acf(resid(gs2), 2, plot = FALSE)


## Figure 9.1, p.260 (somewhat different)
plot(irf(gs2, impulse = "gold", n.ahead = 50), ylim = c(-0.02, 0.1))
plot(irf(gs2, impulse = "silver", n.ahead = 50), ylim = c(-0.02, 0.1))


## Table 9.2, p.261
fevd(gs2)

## p.266
ls <- lgs8612[, "silver"]
lg <- lgs8612[, "gold"]

gsreg <- lm(lg ~ ls)
summary(gsreg)
sgreg <- lm(ls ~ lg)
summary(sgreg)

library("tseries")
adf.test(resid(gsreg), k = 0)
adf.test(resid(sgreg), k = 0)

AER documentation built on Sept. 28, 2024, 9:07 a.m.