AER (version 1.2-4)

NYSESW: Daily NYSE Composite Index

Description

A daily time series from 1990 to 2005 of the New York Stock Exchange composite index.

Usage

data("NYSESW")

Format

A daily univariate time series from 1990-01-02 to 2005-11-11 (of class "zoo" with "Date" index).

Source

Online complements to Stock and Watson (2007). http://wps.aw.com/aw_stock_ie_2/

References

Stock, J.H. and Watson, M.W. (2007). Introduction to Econometrics, 2nd ed. Boston: Addison Wesley.

See Also

StockWatson2007

Examples

## returns
data("NYSESW")
ret <- 100 * diff(log(NYSESW))
plot(ret)

## Stock and Watson (2007), p. 667, GARCH(1,1) model
library("tseries")
fm <- garch(coredata(ret))
summary(fm)