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Financial time series for Tsay (2005, ch. 2)

ch02data.Rd

Financial time series used in examples in chapter 2.

Usage

data(m.ibm2697)
data(m.vw2697)
data(q.gnp4791)
data(m.ibm3dx2603)
data(m.3m4697)
data(q.gdp4703)
data(d.sp9003lev)
data(q.jnj)
data(m.decile1510)
data(w.gs1n36299)

Format

Objects of class zoo giving simple returns for each trading period (day, week or month) for different periods.

  • m.ibm2697, m.vw2697 Monthly returns for IBM stock and the value weighted index from 1926 to 1997.

  • q.gnp4791 Growth rate of U.S. quarterly real gnp, from 1947Q2 to 1991Q1.

  • m.ibm3dx2603 Monthy returns of IBM stock, the value and equal weighted and Standard and Poors indices from 1926 through 2003.

  • m.3m4697 Monthly simple returns of 3M stock from Feb., 1946 through Dec. 2003.

  • q.gdp4703 U.S. quarterly GDP from 1947 through 2003

  • d.sp9003lev Daily values of S&P 500 index from 1990 through 2003.

  • q.jnj Quarterly earnings of Johnson & Johnson from 1960 through 1980.

  • m.decile1510 Monthly simple returns of Deciles 1, 5, 10. Decile 1 means the weighted returns of companies in the first 10 percent of market cap (i.e. 0 to 10). (Thus, it is not the 10th percentile.) Decile 10 means the returns of the top 10 percent of the companies (market cap). Therefore, decile 1 is the smallest listed companies, and decile 10 is for the largest companies. The 'index' of 'm.decile1510' has class 'Date'. Since it's a monthly series, it would be better for many purposes if it had 'index' of class 'yearmon'. See the 'examples' below for how to achieve this conversion.

  • w.gs1n36299 zoo object with two columns, 'gs1' and 'gs3', giving weekly 1-yr & 3-yr interest rates from 1962-01-05 through 2007-11-02. These data were reextracted from the Federal Reserve Bank at St. Louis to replace data from the book's web site that had obvious data quality problems (e.g., a date of 1962-08-32). To get data covering January 4, 1962, through September 10, 1999, use window(w.gs1n36299, start = as.Date("1962-01-12"), end=as.Date("1999-09-10")); see 'examples' below.

Source

https://faculty.chicagobooth.edu/ruey-s-tsay/teaching

References

Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley, ch. 2)

Author

Spencer Graves with help from Gabor Grothendieck.

See also

ch01data

Examples

## m.decile1510 has 'index' of class 'Date'
## Since it's a monthly series, for many purposes,
## it should have 'index' of class 'yearmon'.
## To get this, do the following:
##
data(m.decile1510)
mDecile1510 <- zoo(m.decile1510, as.yearmon(index(m.decile1510)))

## w.gs1n36299 covers a broader range than used in
## Tsay (2005, sec. 2.9, pp. 80ff):  subset using 'window':
##
data(w.gs1n36299)
w.gs1n3 <- window(w.gs1n36299, start = as.Date("1962-01-12"),
    end = as.Date("1999-09-10"))