Description Usage Format Source References See Also

Financial time series used in examples in chapter 7.

1 2 |

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

daynumbers 1:9190

meanCorrectedLogRtnsmean-corrected log returns

Q41 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

http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2

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

`ch01data`

`ch02data`

`ch03data`

`ch04data`

`ch05data`

`ch06data`

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