ch07data: financial time series for Tsay (2005, chapter 7[text])
Description
Financial time series used in examples in chapter 7.Usage
data(d.ibm6298wmx)
data(d.intc7297)
format
{
a zoo object of 9190 observations on several series relating to
IBM stock, 1962-07-03 to 1998-12-31:
{
daily simple returns in percentages of IBM stock
}
- day
{numbers 1:9190}
- meanCorrectedLogRtns
{mean-corrected log returns}
- Q4
{1 for October, November, December, and 0 otherwise}
- drop2.5pct
{
an indicator variable for the behavior of the previous trading
day. Specifically, this is 1 if the meanCorrectedLogRtns for
the previous day was at most (-0.025).
}
- nOfLast5outside2.5pct
{
number of the last 5 days for which the meanCorrectedLogRtns
exceeded +/-2.5 }
- annualTrend
{
an annual trend defined as (year-1961)/38.
}
- GARCH1.1volatility
{
a volatility series based on a Gaussian GARCH(1,1) model for
the mean-corrected log returns.
}
The simpleDailyRtns and the zoo index are from 'd-ibm6298.txt'
from the book's web site.
The 'day' and 'meanCorrectedLogRtns' are from 'd-ibmln98wm.txt'.
The last 5 columns are from 'd-ibml25x.txt'; they are described
on p. 332 of the book.
}item
d.intc7297source
http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2References
Ruey Tsay (2005)
Analysis of Financial Time Series, 2nd ed. (Wiley, ch. 7)