SeriesB: Series B, close price IBM stock

In FGN: Fractional Gaussian Noise and power law decay time series model fitting

Description

Closing price of IBM common stock, daily, May 17 1961 to November 2 1962

Usage

data(SeriesB)

Format

The format is: num [1:369] 460 457 452 459 462 459 463 479 493 490 ...

Source

G. E. P. Box, G.E.P., Jenkins, G.M. and Reinsel, G.C. (2008). Time Series Analysis: Forecasting and Control, 4th Ed., Wiley.

Examples

r <- diff(log(SeriesB))
a <- abs(diff(log(SeriesB)))
layout(c(2,1))
acf(r, main="log returns")
acf(a, main="absolute log returns")
#

Example output

FGN documentation built on May 30, 2017, 7:19 a.m.