Weekly: Weekly S&P Stock Market Data

In ISLR2: Introduction to Statistical Learning, Second Edition

Weekly S&P Stock Market Data

Description

Weekly percentage returns for the S&P 500 stock index between 1990 and 2010.

Usage

Weekly

Format

A data frame with 1089 observations on the following 9 variables.

Year

The year that the observation was recorded

Lag1

Percentage return for previous week

Lag2

Percentage return for 2 weeks previous

Lag3

Percentage return for 3 weeks previous

Lag4

Percentage return for 4 weeks previous

Lag5

Percentage return for 5 weeks previous

Volume

Volume of shares traded (average number of daily shares traded in billions)

Today

Percentage return for this week

Direction

A factor with levels Down and Up indicating whether the market had a positive or negative return on a given week

Source

Raw values of the S&P 500 were obtained from Yahoo Finance and then converted to percentages and lagged.

References

James, G., Witten, D., Hastie, T., and Tibshirani, R. (2013) An Introduction to Statistical Learning with applications in R, https://www.statlearning.com, Springer-Verlag, New York

Examples

summary(Weekly)
lm(Today~Lag1+Lag2,data=Weekly)

ISLR2 documentation built on Nov. 20, 2022, 1:06 a.m.