S&P 500

Description

This data set gives the value of Standard and Poor's most notable stock market price index (the S&P 500) at year end, from 1800 to 2001.

Usage

data(SandP500)

Format

A vector of 202 observations.

Source

http://www.globalfindata.com

References

Brown, Barry W., Spears, Floyd M. and Levy, Lawrence B. (2002) The log F: a distribution for all seasons. Computational Statistics, 17, 47–58.

Examples

data(SandP500)
### Consider proportional changes in the index
change <- SandP500[-length(SandP500)] / SandP500[-1]
hist(change)
### Fit hyperbolic distribution to changes
hyperbFit(change)

Results

R version 3.3.1 (2016-06-21) -- "Bug in Your Hair"
Copyright (C) 2016 The R Foundation for Statistical Computing
Platform: x86_64-pc-linux-gnu (64-bit)

R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Type 'license()' or 'licence()' for distribution details.

R is a collaborative project with many contributors.
Type 'contributors()' for more information and
'citation()' on how to cite R or R packages in publications.

Type 'demo()' for some demos, 'help()' for on-line help, or
'help.start()' for an HTML browser interface to help.
Type 'q()' to quit R.

> library(GeneralizedHyperbolic)
Loading required package: DistributionUtils
Loading required package: RUnit
> png(filename="/home/ddbj/snapshot/RGM3/R_CC/result/GeneralizedHyperbolic/SandP500.Rd_%03d_medium.png", width=480, height=480)
> ### Name: SandP500
> ### Title: S&P 500
> ### Aliases: SandP500
> ### Keywords: datasets
> 
> ### ** Examples
> 
> data(SandP500)
> ### Consider proportional changes in the index
> change <- SandP500[-length(SandP500)] / SandP500[-1]
> hist(change)
> ### Fit hyperbolic distribution to changes
> hyperbFit(change)

Data:      change 
Parameter estimates:
     mu    delta    alpha     beta  
 0.8352   0.1734  15.9594   7.3532  
Likelihood:         85.05974 
criterion :         MLE 
Method:             Nelder-Mead 
Convergence code:   0 
Iterations:         361 
> 
> 
> 
> 
> 
> 
> dev.off()
null device 
          1 
>