dCovTS (version 1.0)

ibmSp500: Monthly returns of IBM and S&P 500 composite index

Description

The monthly returns of the stocks of International Business Machines (IBM) and the S&P 500 composite index from January 1926 to December 2011.

Usage

ibmSp500

Format

A data frame with 1032 observations on the following 3 variables.

date

a numeric vector

ibm

a numeric vector

sp

a numeric vector

Source

The data is a combination of two datasets:

• The first 612 observations are in Tsay (2010) (see http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts3/)
• The rest 420 observations are in Tsay (2014) (see http://faculty.chicagobooth.edu/ruey.tsay/teaching/mtsbk/)

References

Tsay, R. S. (2010). Analysis of Financial Time Series. Hoboken, NJ: Wiley. Third edition.

Tsay, R. S. (2014). Multivariate Time Series Analysis with R and Financial Applications. Hoboken, NJ: Wiley.

Examples

attach(ibmSp500)

series <- tail(ibmSp500[,2:3],400)
lseries <- log(series+1)
## Not run: 
# mADCFplot(lseries,MaxLag=18)
# mADCFplot(lseries^2,MaxLag=18)
# acf(lseries,lag.max=18)
# acf(lseries^2,lag.max=18)## End(Not run)