Financial time series used in examples in chapter 7.
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
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
Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley, ch. 7)
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