crude_oil_wti.its: WTI Crude Oil Futures Daily High/Low Interval Time Series

In dataSDA: Datasets and Basic Statistics for Symbolic Data Analysis

WTI Crude Oil Futures Daily High/Low Interval Time Series

Description

Daily high and low prices of WTI (West Texas Intermediate) crude oil futures from January 2, 2003 to December 30, 2011 (2261 trading days). This dataset matches the period used by Yang, Han, Hong and Wang (2016) for analyzing crisis impacts on crude oil prices using interval time series modelling.

Usage

data(crude_oil_wti.its)

Format

A data frame with 2261 observations and 3 variables:

• date: Trading date (Date class).

• low: Daily low price (USD per barrel).

• high: Daily high price (USD per barrel).

Details

WTI crude oil is a benchmark for oil prices in the Americas. This dataset covers a period that includes the 2003 Iraq War, the 2007–2008 oil price spike (reaching nearly USD 150/barrel), the 2008 global financial crisis, and the subsequent recovery. The wide variation in price levels and volatility regimes makes this dataset ideal for evaluating interval time series models under structural breaks.

Metadata

Sample size (n)	2261
Variables (p)	3 (date, low, high)
Subject area	Finance / Commodities
Symbolic format	Interval time series
Analytical tasks	Forecasting, Structural break analysis

Source

Yahoo Finance, ticker CL=F. Downloaded via the quantmod package.

References

Yang, W., Han, A., Hong, Y. and Wang, S. (2016). Analysis of crisis impact on crude oil prices: A new approach with interval time series modelling. Quantitative Finance, 16(12), 1917–1928.

Examples

data(crude_oil_wti.its)
head(crude_oil_wti.its)
plot(crude_oil_wti.its$date, crude_oil_wti.its$high, type = "l",
     col = "red", ylab = "Price (USD/barrel)", xlab = "Date",
     main = "WTI Crude Oil Daily High/Low (2003-2011)")
lines(crude_oil_wti.its$date, crude_oil_wti.its$low, col = "blue")
legend("topleft", c("High", "Low"), col = c("red", "blue"), lty = 1)

dataSDA documentation built on June 12, 2026, 9:06 a.m.