SP500: Daily changes in the S&P 500 index

In BCT: Bayesian Context Trees for Discrete Time Series

Daily changes in the S&P 500 index

Description

This dataset contains the quantised daily changes x_i in the Standard & Poor’s index price, from January 2, 1928 until October 7, 2016. The price changes are quantised to 7 values as follows: If the change between two successive trading days (i - 1) and i is smaller than -3%, x_i is set equal to 0; if the change is between -3% and -2%, x_i=1; for changes in the intervals (-2%, -1%], (-1%, 1%], (1%, 2%], and (2%, 3%] x_i is set equal to 2,3,4 and 5, respectively; and for changes greater than 3%, x_i = 6.

Usage

SP500

Format

An object of class "character".

References

Yahoo! finance. (yahoo_finance)

Examples

BCT(SP500, 10)

BCT documentation built on May 12, 2022, 5:06 p.m.