UTIL.index: Utilities Indexes

In Rsafd: Statistical Analysis of Financial Data in R

Description

Indexes computed daily in 1993 for DUKE, ENRON and the Utility sector. In the case of Enron and Duke, the index is merely the value of the stock multiplied by a factor appropriately chosen so that the resulting value is exactly 100 on a day chosen to initialize the index. These data are used in the textbook to illustrate the problems with time series regression.

Usage

data(UTIL.index), ata(DUKE.index),ata(ENRON.index)

Format

A data frame with 260 observations on the following 3 variables. The row names are the dates for which the indexes are computed. They start from 01/04/1993 and end 12/31/1993

ENRON.index

a numeric vector

DUKE.index

a numeric vector

UTILITY.index

a numeric vector

Details

ENRON.index DUKE.index UTILITY.index 01/04/1993 135.0000 104.2857 99.94170 01/05/1993 135.3714 103.5714 99.49463 01/06/1993 132.8571 104.2857 99.86034 01/07/1993 130.7143 103.5714 98.70023 01/08/1993 126.8000 101.8000 97.93630 01/11/1993 127.5143 101.8000 98.69736

Source

R. A. Carmona: Statistical Analysis of Financial Data in S-Plus, (2004) Springer Verlag

References

R. A. Carmona: Statistical Analysis of Financial Data in S-Plus, (2004) Springer Verlag, Chapter 3.

Examples

data(UTIL.index)

Rsafd documentation built on May 2, 2019, 5:20 p.m.