BCJ {astsa}

Daily Returns of Three Banks

Description

Daily returns of three banks, 1. Bank of America [boa], 2. Citibank [citi], and 3. JP Morgan Chase [jpm], from 2005 to 2017.

Format

The format is: Time-Series [1:3243, 1:3] from 2005 to 2017: -0.01378 -0.01157 -0.00155 -0.01084 0.01252 ... with column names "boa" "citi" "jpm" .

Source

Gong & Stoffer (2021). A Note on Efficient Fitting of Stochastic Volatility Models. Journal of Time Series Analysis, 42(2), 186-200.

https://github.com/nickpoison/Stochastic-Volatility-Models

References

You can find demonstrations of astsa capabilities at FUN WITH ASTSA.

The most recent version of the package can be found at https://github.com/nickpoison/astsa/.

In addition, the News and ChangeLog files are at https://github.com/nickpoison/astsa/blob/master/NEWS.md.

The webpages for the texts and some help on using R for time series analysis can be found at https://nickpoison.github.io/.

Examples

tsplot(BCJ, col=2:4)