ibmSp500 | R Documentation |
The monthly returns of the stocks of International Business Machines (IBM) and the S&P 500 composite index from January 1926 to December 2011.
ibmSp500
A data frame with 1,032 observations on the following 3 variables.
date
a numeric vector
ibm
a numeric vector
sp
a numeric vector
The data is a combination of two datasets:
The first 612 observations are in Tsay (2010).
The rest 420 observations are in Tsay (2014).
Tsay, R. S. (2010). Analysis of Financial Time Series. Hoboken, NJ: Wiley. Third edition.
Tsay, R. S. (2014). Multivariate Time Series Analysis with R and Financial Applications. Hoboken, NJ: Wiley.
### attach(ibmSp500)
### series <- tail(ibmSp500[, 2:3], 400)
### lseries <- log(series + 1)
### mADCFplot(lseries, MaxLag = 12)
### mADCFplot(lseries^2, MaxLag = 12)
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