SandP500: S&P 500

In sjp/GeneralizedHyperbolic: The generalized hyperbolic distribution

Description

This data set gives the value of Standard and Poor's most notable stock market price index (the S\&P 500) at year end, from 1800 to 2001.

Usage

data(SandP500)

Format

A vector of 202 observations.

Source

http://www.globalfindata.com

References

Brown, Barry W., Spears, Floyd M. and Levy, Lawrence B. (2002) The log F: a distribution for all seasons. Computational Statistics, 17, 47–58.

Examples

data(SandP500)
### Consider proportional changes in the index
change <- SandP500[-length(SandP500)] / SandP500[-1]
hist(change)
### Fit hyperbolic distribution to changes
hyperbFit(change)

sjp/GeneralizedHyperbolic documentation built on May 30, 2019, 12:06 a.m.