| C20 {marima} | R Documentation |
Data set for testing marima package (Copenhagen Stocks)
Description
Two years of prices for 18 shares from the Copenhagen Stock Exchange C20 index, covering the most valuable companies. Two shares have been removed (Maersk A = almost identical to Maersk B) and ISS which is incomplete for the period considered.
Usage
data(C20)
Format
A data frame (C20) with 1+18+18 columns and 517 rows (about two full years).
- Dates
Format for date is 2016-04-01
- CARL.fin
Closing price for stock 'Carlsberg' .
- CHR..fin
Closing price for stock 'Christian Hansen' .
- COLO.fin
Closing price for stock 'Coloplast' .
- DANS.fin
Closing price for stock 'Danske Bank' .
- DSV..fin
Closing price for stock 'DSV' .
- GEN..fin
Closing price for stock 'Genmap' .
- GN.2.fin
Closing price for stock 'GN St. Nord' .
- FLS..fin
Closing price for stock 'FL Smidth' .
- JYSK.fin
Closing price for stock 'Jyske Bank' .
- MAER.fin
Closing price for stock 'Maersk B' .
- NDA..fin
Closing price for stock 'Nordea Bank' .
- NOVO.fin
Closing price for stock 'Novo' .
- NZYM.fin
Closing price for stock 'Novozymes' .
- PNDO.fin
Closing price for stock 'Pandora' .
- TDC..fin
Closing price for stock 'TDC' .
- TRYG.fin
Closing price for stock Pandora' .
- VWS..fin
Closing price for stock 'Vestas Wind' .
- WDH..fin
Closing price for stock 'Wiliam Demant' .
- CARL.ave
Average price for stock 'Carlsberg' .
- CHR..ave
Average price for stock 'Christian Hansen' .
- COLO.ave
Average price for stock 'Coloplast' .
- DANS.ave
Average price for stock 'Danske Bank' .
- DSV..ave
Average price for stock 'DSV' .
- GEN..ave
Average price for stock 'Genmap' .
- GN.2.ave
Average price for stock 'GN St. Nord' .
- FLS..ave
Average price for stock 'FL Smidth' .
- JYSK.ave
Average price for stock 'Jyske Bank' .
- MAER.ave
Average price for stock 'Maersk B' .
- NDA..ave
Average price for stock 'Nordea Bank' .
- NOVO.ave
Average price for stock 'Novo' .
- NZYM.ave
Average price for stock 'Novozymes' .
- PNDO.ave
Average price for stock Pandora' .
- TDC..ave
Average price for stock 'TDC' .
- TRYG.ave
Average price for stock 'Pandora' .
- VWS..ave
Average price for stock 'Vestas Wind' .
- WDH..ave
Average price for stock 'William Demant' .
Examples
# Example 1:
library(marima)
data(C20)
selects <- c(2,7,11)
cat("Multivariate model for ",colnames(C20)[selects]," \n")
Data <- data.frame(C20[,selects])
colnames(Data) <- colnames(C20)[selects]
log.Data <- log(Data)
kvar <- length(selects)
k <- c(1:kvar)
difs <- rep(1,length(selects))
difference <- rbind(k , difs)
dlog.Data <- 100*t(define.dif(log.Data,difference)$y.dif)
cat("dlog.Data represents the percentage change from day
to day. \n")
mod <- define.model(kvar = kvar, ar=c(1:2),ma=c(1))
Model <- marima(dlog.Data,
ar.pattern=mod$ar.pattern, ma.pattern=mod$ma.pattern,penalty=2)
short.form(Model$ar.estimates,leading=FALSE)
short.form(Model$ma.estimates,leading=FALSE)
# Example 2:
library(marima)
data(C20)
selects <- c(13)
cat("Univariate model for ",colnames(C20)[selects]," \n")
Data <- data.frame(C20[,selects])
colnames(Data) <- colnames(C20)[selects]
log.Data <- log(Data)
kvar <- length(selects)
k <- c(1:kvar)
difs <- rep(1,length(selects))
difference <- rbind(k , difs)
dlog.Data <- 100*t(define.dif(log.Data,difference)$y.dif)
mod <- define.model(kvar = kvar, ar=c(1:2),ma=c(1))
Model <- marima(dlog.Data,
ar.pattern=mod$ar.pattern, ma.pattern=mod$ma.pattern,penalty=2)
short.form(Model$ar.estimates,leading=FALSE)
short.form(Model$ma.estimates,leading=FALSE)