returns: Returns of the closing prices of three financial indexes

In mtarm: Bayesian Estimation of Multivariate Threshold Autoregressive Models

Returns of the closing prices of three financial indexes

Description

These data correspond to the returns on closing prices of the Colcap, Bovespa, and S&P 500 indexes from February 10, 2010 to March 31, 2016 (1505 time points). Colcap is a leading indicator of the price dynamics of the 20 most liquid shares on the Colombian stock market. Bovespa is the Brazilian stock market index, the world's thirteenth largest and most important stock exchange, and the first in Latin America. Finally, the Standard & Poor's 500 (S&P 500) index is a stock index based on the 500 largest companies in the United States.

Usage

data(returns)

Format

A data frame with 1505 rows and 4 variables:

Date

a vector that indicates the date each measurement was performed.

COLCAP

a numerical vector indicating the returns on closing prices of COLCAP.

SP500

a numerical vector indicating the returns on closing prices of SP500.

BOVESPA

a numerical vector indicating the returns on closing prices of BOVESPA.

References

Romero, L.V. and Calderon, S.A. (2021) Bayesian estimation of a multivariate TAR model when the noise process follows a Student-t distribution. Communications in Statistics - Theory and Methods, 50, 2508-2530.

Examples

data(returns)
dev.new()
plot(ts(as.matrix(returns[,-1])), main="Returns")

mtarm documentation built on June 8, 2025, 10:20 a.m.