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.
data("oil")A data frame with 1000 observations on the following 25 variables.
OILPRICEthe 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_logthe S&P 500 index
DX1_logthe US Dollar Index.
GC1_loghe log price of front month gold price contract traded by NYMEX
HO1_logthe log price of front month heating oil contract traded by NYMEX
USCI_logthe United States Commodity Index
GNR_logthe S&P Global Natural Resources Index
SHCOMP_logthe Shanghai Stock Exchange Composite Index.
FTSE_logthe FTSE 100 Index
respLAGthe lag 1 of OILPRICE - lagged version of the response variable.
data(oil)
plot(OILPRICE~SPX_log, data=oil)
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