R: Financial time series for Tsay (2005, ch. 7)

ch07data {FinTS}

R Documentation

Financial time series for Tsay (2005, ch. 7)

Financial time series used in examples in chapter 7.

data(d.ibm6298wmx)
data(d.intc7297)

d.ibm6298wmx

a zoo object of 9190 observations on several series relating to IBM stock, 1962-07-03 to 1998-12-31:

dailySimpleRtns: daily simple returns in percentages of IBM stock
day: numbers 1:9190
meanCorrectedLogRtns: mean-corrected log returns
Q4: 1 for October, November, December, and 0 otherwise
drop2.5pct: an indicator variable for the behavior of the previous trading day. Specifically, this is 1 if the meanCorrectedLogRtns for the previous day was at most (-0.025).
nOfLast5outside2.5pct: number of the last 5 days for which the meanCorrectedLogRtns exceeded +/-2.5
annualTrend: an annual trend defined as (year-1961)/38.
GARCH1.1volatility: a volatility series based on a Gaussian GARCH(1,1) model for the mean-corrected log returns.

The simpleDailyRtns and the zoo index are from 'd-ibm6298.txt' from the book's web site.

The 'day' and 'meanCorrectedLogRtns' are from 'd-ibmln98wm.txt'.

The last 5 columns are from 'd-ibml25x.txt'; they are described on p. 332 of the book.

d.intc7297

a zoo object of daily log returns of Intel stock, 1972-12-15 to 1997-12-31.

Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley, ch. 7)