financial time series for Tsay (2005, chapter 9[text])

Description

Financial time series used in examples in chapter 9.

Usage

data(m.fac9003)
data(m.cpice16.dp7503)
data(m.barra.9003)
data(m.5cln)
#data(m.bnd) <- documented with ch08, also used in ch09
data(m.apca0103)

Format

• m.fac9003 a zoo object of 168 observations giving simple excess returns of 13 stocks and the Standard and Poor's 500 index over the monthly series of three-month Treasury bill rates of the secondary market as the risk-free rate from January 1990 to December 2003. (These numbers are used in Table 9.1.)

  • AAAlcoa

  • AGEA. G. Edwards

  • CATCaterpillar

  • FFord Motor

  • FDXFedEx

  • GMGeneral Motors

  • HPQHewlett-Packard

  • KMBKimberly-Clark

  • MELMellon Financial

  • NYTNew York Times

  • PGProctor & Gamble

  • TRBChicago Tribune

  • TXNTexas Instruments

  • SP5Standard & Poor's 500 index

• m.cpice16.dp7503 a zoo object of 168 monthly on two macroeconomic variables from January 1975 through December 2002 (p. 412):

  • CPI consumer price index for all urban consumers: all items and with index 1982-1984 = 100

  • CE16 Civilian employment numbers 16 years and over: measured in thousands

• m.barra.9003 a zoo object giving monthly excess returns of ten stocks from January 1990 through December 2003:

  • AGEA. G. Edwards

  • CCitigroup

  • MWDMorgan Stanley

  • MERMerrill Lynch

  • DELLDell, Inc.

  • IBMInternational Business Machines

  • AAAlcoa

  • CATCaterpillar

  • PGProctor & Gamble

• m.5cln a zoo object giving monthly log returns in percentages of 5 stocks from January 1990 through December 1999:

  • IBMInternational Business Machines

  • HPQHewlett-Packard

  • INTCIntel

  • MERMerrill Lynch

  • MWDMorgan Stanley Dean Witter

• m.apca0103 data.frame of monthly simple returns of 40 stocks from January 2001 through December 2003, discussed in sect. 9.6.2, pp. 437ff.

  • CompanyID5-digit company identification code

  • datethe last workday of the month

  • returnin percent

Source

http://faculty.chicagogsb.edu/ruey.tsay/teaching/fts2

References

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

See Also

ch01data ch02data ch03data ch04data ch05data ch06data

Examples

data(m.apca0103)
dim(m.apca0103)
# 1440 3;  1440 = 40*36
# Are the dates all the same?
sameDates <- rep(NA, 39)
for(i in 1:39)
   sameDates[i] <- with(m.apca0103, all.equal(date[1:36],
                         date[(i*36)+1:36]))
stopifnot(all(sameDates))
M.apca0103 <- with(m.apca0103, array(return, dim=c(36, 40), dimnames=
        list(NULL, paste("Co", CompanyID[seq(1, 1440, 36)], sep=""))))

Results

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> library(FinTS)
Loading required package: zoo

Attaching package: 'zoo'

The following objects are masked from 'package:base':

    as.Date, as.Date.numeric

> png(filename="/home/ddbj/snapshot/RGM3/R_CC/result/FinTS/ch09data.Rd_%03d_medium.png", width=480, height=480)
> ### Name: ch09data
> ### Title: financial time series for Tsay (2005, chapter 9[text])
> ### Aliases: ch09data m.fac9003 m.cpice16.dp7503 m.barra.9003 m.5cln
> ###   m.apca0103
> ### Keywords: datasets
> 
> ### ** Examples
> 
> data(m.apca0103)
> dim(m.apca0103)
[1] 1440    3
> # 1440 3;  1440 = 40*36
> # Are the dates all the same?
> sameDates <- rep(NA, 39)
> for(i in 1:39)
+    sameDates[i] <- with(m.apca0103, all.equal(date[1:36],
+                          date[(i*36)+1:36]))
> stopifnot(all(sameDates))
> M.apca0103 <- with(m.apca0103, array(return, dim=c(36, 40), dimnames=
+         list(NULL, paste("Co", CompanyID[seq(1, 1440, 36)], sep=""))))
> 
> 
> 
> 
> 
> dev.off()
null device 
          1 
>