ch07data: Financial time series for Tsay (2005, ch. 7)

ch07dataR Documentation

Financial time series for Tsay (2005, ch. 7)

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

https://faculty.chicagobooth.edu/ruey-s-tsay/teaching

References

Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley, ch. 7)

See Also

ch01data, ch02data, ch03data, ch04data, ch05data, ch06data


FinTS documentation built on May 29, 2024, 4:24 a.m.

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