pricesSP50: Stock Prices of the First 50 Components of S&P500

In esmucler/gdpc: Generalized Dynamic Principal Components

Stock Prices of the First 50 Components of S&P500

Description

Fifty series corresponding to the stock prices of the first 50 components of the Standard&Poor's 500 index. Five hundred daily observations starting 1/1/2010.

Usage

data(pricesSP50)

Format

A matrix time series with 500 observations on the stock prices of the first 50 components of the Standard&Poor's 500 index.

Examples

data(pricesSP50)
## Not run: 
#Plot the first four series
plot(pricesSP50[, 1:4], main = 'Four components of the S&P500 index')
#Compute GDPCs; this may take a bit.
fit_SP <- auto.gdpc(pricesSP50, normalize = 2, niter_max = 1000, ncores= 4)
fit_SP
#Get reconstruction and plot
recons <- fitted(fit_SP, num_comp = 2)
colnames(recons) <- colnames(pricesSP50)
plot(recons[, 1:4], main = 'Reconstruction of four components of the S&P500 index')

## End(Not run)

esmucler/gdpc documentation built on Nov. 23, 2023, 5:39 p.m.