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Financial time series for Tsay (2005, ch. 12)

ch12data.Rd

Financial time series used in examples in chapter 12.

Usage

data(w.gs3n1c)
data(w.gs3c)
data(m.sp6299)
data(m.ibmspln6299)
data(m.sp5.6204)
data(m.geln)

Format

  • w.gs3n1c a zoo object of the change series of weekly US interest rates (3 and 1 year maturities) from Jan. 5, 1962, to Sep. 10, 1999. This was obtained via diff(window(w.gs1n36299, start=as.Date("1962-01-05"), end=as.Date("1999-09-10")))[, 2:1] to get the dates with the data. Then 'all.equal' confirmed that these numbers matched those in the file read from the web site (which did not have dates). These are used in Example 12.1, pp. 556ff.

  • w.gs3c a zoo object giving the change series of weekly US 3-year maturity interest rates from March 18, 1988, to Sept. 10, 1999. This was obtained via window(w.gs3n1c[, 1], start=as.Date("1988-03-18"), end = as.Date("1999-09-10")). Then 'all.equal' confirmed that these numbers matched those read from the web site. These data are used in Example 12.2, pp. 564ff.

  • m.sp6299 Monthly log returns of S&P 500 index from January 1962 to December 1999. These data are used in Example 12.3, pp. 569ff. These data are a subset of 'm.ibmspln', used in chapter 3. That series has dates, which were not provided in the file associated with this series on the book's web site. Moreover, the file with chapter 12 has only 4 significant digits where the earlier file has 6. Since the other data are otherwise identical, this 'm.sp6299' was constructed as window(m.ibmspln[, 2], start = yearmon(1962), end = yearmon(1999+11/12)).

  • m.ibmspln6299 Monthly log returns of IBM stock and the S&P 500 index from January 1962 to December 1999. These data are used in Example 12.4, pp. 573ff. These data are an expansion of 'm.sp6299' and were similarly obtained from 'm.ibmspln'.

  • m.sp5.6204 Monthly log returns of S&P 500 index from January 1962 to November 1999. These data are used in Example 12.5, pp. 586ff.

  • m.geln Monthly log returns of GE stock from January 1926 to December 1999. These data are used in Example 12.6, pp. 591ff.

Source

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

References

Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley, ch. 12)

See also

ch01data, ch02data, ch03data, ch04data, ch05data, ch06data, ch07data, ch08data, ch09data, ch10data, ch11data