AER (version 1.2-12)

GoldSilver: Gold and Silver Prices

Description

Time series of gold and silver prices.

Usage

data("GoldSilver")

Format

A daily multiple time series from 1977-12-30 to 2012-12-31 (of class "zoo" with "Date" index).

gold

spot price for gold,

silver

spot price for silver.

References

Franses, P.H., van Dijk, D. and Opschoor, A. (2014). Time Series Models for Business and Economic Forecasting, 2nd ed. Cambridge, UK: Cambridge University Press.

Examples

 if(!requireNamespace("longmemo") ||
              !requireNamespace("forecast") ||
              !requireNamespace("vars") ||
              !requireNamespace("tseries")) {
  if(interactive() || is.na(Sys.getenv("_R_CHECK_PACKAGE_NAME_", NA))) {
    stop("not all packages required for the example are installed")
  } else q() }
data("GoldSilver", package = "AER")

## p.31, daily returns
lgs <- log(GoldSilver)
plot(lgs[, c("silver", "gold")])

dlgs <- 100 * diff(lgs) 
plot(dlgs[, c("silver", "gold")])

## p.31, monthly log prices
lgs7812 <- window(lgs, start = as.Date("1978-01-01"))
lgs7812m <- aggregate(lgs7812, as.Date(as.yearmon(time(lgs7812))), mean)
plot(lgs7812m, plot.type = "single", lty = 1:2, lwd = 2)

## p.93, empirical ACF of absolute daily gold returns, 1978-01-01 - 2012-12-31
absgret <- abs(100 * diff(lgs7812[, "gold"]))
sacf <- acf(absgret, lag.max = 200, na.action = na.exclude, plot = FALSE)
plot(1:201, sacf$acf, ylim = c(0.04, 0.28), type = "l", xaxs = "i", yaxs = "i", las = 1)

# \donttest{
## ARFIMA(0,1,1) model, eq. (4.44)
library("longmemo")
WhittleEst(absgret, model = "fARIMA", p = 0, q = 1, start = list(H = 0.3, MA = .25))

library("forecast")
arfima(as.vector(absgret), max.p = 0, max.q = 1)
# }

## p.254: VAR(2), monthly data for 1986.1 - 2012.12
library("vars")

lgs8612 <- window(lgs, start = as.Date("1986-01-01"))
dim(lgs8612)

lgs8612m <- aggregate(lgs8612, as.Date(as.yearmon(time(lgs8612))), mean)
plot(lgs8612m)
dim(lgs8612m)

VARselect(lgs8612m, 5)
gs2 <- VAR(lgs8612m, 2)

summary(gs2)
summary(gs2)$covres

## ACF of residuals, p.256
acf(resid(gs2), 2, plot = FALSE)

# \donttest{
## Figure 9.1, p.260 (somewhat different)
plot(irf(gs2, impulse = "gold", n.ahead = 50), ylim = c(-0.02, 0.1))
plot(irf(gs2, impulse = "silver", n.ahead = 50), ylim = c(-0.02, 0.1))
# }

## Table 9.2, p.261
fevd(gs2)

## p.266
ls <- lgs8612[, "silver"]
lg <- lgs8612[, "gold"]

gsreg <- lm(lg ~ ls)
summary(gsreg)
sgreg <- lm(ls ~ lg)
summary(sgreg)

library("tseries")
adf.test(resid(gsreg), k = 0)
adf.test(resid(sgreg), k = 0)