gamlss.data (version 4.3-4)

oil: The oil price data

Description

The Oil data: Using model selection to discover what affects the price of oil. The data s contains the daily prices of front month WTI (West Texas Intermediate) oil price traded by NYMEX (New York Mercantile Exchange). The front month WTI oil price is a futures contract with the shortest duration that could be purchased in the NYMEX market. The idea is to use other financially traded products (e.g., gold price) to discover what might affect the daily dynamics of the price of oil.

Usage

data("oil")

Format

A data frame with 1000 observations on the following 25 variables.

OILPRICE

the log price of front month WTI oil contract traded by NYMEX - in financial terms, this is the CL1. This is the response variable.

CL2_log, CL3_log, CL4_log, CL5_log, CL6_log, CL7_logCL8_log, CL9_log, CL10_log, CL11_log, CL12_log, CL13_log, CL14_log, CL15_log

numeric vectors which are the log prices of the 2 to 15 months ahead WTI oil contracts traded by NYMEX. For example, for the trading day of 2nd June 2016, the CL2 is the WTI oil contract for delivery in August 2016.

BDIY_log

the Baltic Dry Index, which is an assessment of the price of moving the major raw materials by sea.

SPX_log

the S&P 500 index

DX1_log

the US Dollar Index.

GC1_log

he log price of front month gold price contract traded by NYMEX

HO1_log

the log price of front month heating oil contract traded by NYMEX

USCI_log

the United States Commodity Index

GNR_log

the S&P Global Natural Resources Index

SHCOMP_log

the Shanghai Stock Exchange Composite Index.

FTSE_log

the FTSE 100 Index

respLAG

the lag 1 of OILPRICE - lagged version of the response variable.

Source

The dataset was downloaaded from https://www.quandl.com/.

Examples

data(oil)
plot(OILPRICE~SPX_log, data=oil)