# ch02data: financial time series for Tsay (2005, chapter 2[text]) In FinTS: Companion to Tsay (2005) Analysis of Financial Time Series

## Description

Financial time series used in examples in chapter 2.

## Usage

 ``` 1 2 3 4 5 6 7 8 9 10``` ```data(m.ibm2697) data(m.vw2697) data(q.gnp4791) data(m.ibm3dx2603) data(m.3m4697) data(q.gdp4703) data(d.sp9003lev) data(q.jnj) data(m.decile1510) data(w.gs1n36299) ```

## Format

Objects of class zoo giving simple returns for each trading period (day, week or month) for different periods.

• m.ibm2697, m.vw2697 Monthly returns for IBM stock and the value weighted index from 1926 to 1997.

• q.gnp4791 Growth rate of U.S. quarterly real gnp, from 1947Q2 to 1991Q1.

• m.ibm3dx2603 Monthy returns of IBM stock, the value and equal weighted and Standard and Poors indices from 1926 through 2003.

• m.3m4697 Monthly simple returns of 3M stock from Feb., 1946 through Dec. 2003.

• q.gdp4703 U.S. quarterly GDP from 1947 through 2003

• d.sp9003lev Daily values of S&P 500 index from 1990 through 2003.

• q.jnj Quarterly earnings of Johnson & Johnson from 1960 through 1980.

• m.decile1510 Monthly simple returns of Deciles 1, 5, 10. Decile 1 means the weighted returns of companies in the first 10 percent of market cap (i.e. 0 to 10). (Thus, it is not the 10th percentile.) Decile 10 means the returns of the top 10 percent of the companies (market cap). Therefore, decile 1 is the smallest listed companies, and decile 10 is for the largest companies.

The 'index' of 'm.decile1510' has class 'Date'. Since it's a monthly series, it would be better for many purposes if it had 'index' of class 'yearmon'. See the 'examples' below for how to achieve this conversion.

• w.gs1n36299 zoo object with two columns, 'gs1' and 'gs3', giving weekly 1-yr & 3-yr interest rates from 1962-01-05 through 2007-11-02. These data were reextracted from the Federal Reserve Bank at St. Louis to replace data from the book's web site that had obvious data quality problems (e.g., a date of 1962-08-32).

To get data covering January 4, 1962, through September 10, 1999, use window(w.gs1n36299, start=as.Date("1962-01-12"), end=as.Date("1999-09-10")); see 'examples' below.

## Author(s)

Spencer Graves with help from Gabor Grothendieck.

## References

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

`ch01data`
 ``` 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16``` ```## ## m.decile1510 has 'index' of class 'Date' ## Since it's a monthly series, for many purposes, ## it should have 'index' of class 'yearmon'. ## To get this, do the following: ## data(m.decile1510) mDecile1510 <- zoo(m.decile1510, as.yearmon(index(m.decile1510))) ## ## w.gs1n36299 covers a broader range than used in ## Tsay (2005, sec. 2.9, pp. 80ff): subset using 'window': ## data(w.gs1n36299) w.gs1n3 <- window(w.gs1n36299, start=as.Date("1962-01-12"), end=as.Date("1999-09-10")) ```