fSeriesData             package:fSeries             R Documentation

_f_S_e_r_i_e_s _D_a_t_a _S_e_t_s

_D_e_s_c_r_i_p_t_i_o_n:

     A collection and description of data sets  including recession
     data from the US, indicators  for daily SP500 stock data together
     with an set  of trading indicators for technical analysis,  daily
     observations of the Deutschmark / British Pound foreign exchange
     log returns and CAC40 index  returns with realized volatility both
     used in Garch  benchmark measurements, the fourteen US economic 
     time series used by Nelson and Plosser in their  seminal paper,
     several public data sets used in  the book 'Modelling financial
     time series with S-Plus'  written by E. Zivot and J. Wang, data
     for Klein's  simple econometric model of the US economy, and  data
     from Kmenta constructed to illustrate estimation  of a
     simultaneous-equation models. 

     'recession' 
      Data sets used in the regression analysis. Recession data from
     the US, 3 Month Tbills data from US FED, 10 Year Tbonds data from
     US FED, Stock-Watson experimental recession index. 


     'dem2gbp' 
      The file '"dem2gbp"' contains daily observations of the 
     Deutschmark / British Pound foreign exchange log returns.  This
     data set has been promoted as an informal benchmark  for GARCH
     time-series software validation. See McCullough and  Renfro
     [1991], and Brooks, Burke, and Persand (2001) for details. The
     nominal returns are expressed in percent, as published in 
     Bollerslev and Ghysels (2001). The data set is available from  the
     _Journal of Business and Economic Statistics_, (JBES), 
     _ftp://www.amstat.org_. A text file has one column of  data
     listing the percentual log-returns of the DEM/GBP exchange  rates.
     The sample period is from January 3, 1984, to December  31, 1991,
     for a total of 1975 daily observations of FX exchange  rates. 

     'cac40' 
      Daily CAC40 index returns with realized volatility. The data 
     cover the period January 4, 1928 until August 31, 1991. The first
     colum hold the ISO-8601 formatted dated, and the second  the index
     values. The data were used in the paper of Ding, Granger and Engle
     [1993] introducing the APARCH model. It can  be consider as a
     benchmark data set. 

     'sp500index'
      'sp500dge' 
      The first file 'sp500index' lists daily SP500 index values.  The
     data cover the period January 1995 until December 1999, and  have
     1249 observations. The first column of the file lists  dates, and
     the second column lists index values. The second file lists daily
     returns from the SP500 as used in the paper of Ding, Granger and
     Engle. 

     'ibmbj' 
      The daily stock market price seriesB from Box and Jenkins [1976].
     A numeric vector of closing prices on 369 consecutive trading days
      starting May 19, 1961. 

     'nelsonplosser' 
      This data set contains the fourteen US economic time series  used
     by Nelson and Plosser in their seminal paper. The time  series
     are: 
      '"%Y%m%d"' - Date index from 18601231 until 19701231, 
       '"gnp.r"' - Real GNP, [Billions of 1958 Dollars], [1909 - 1970], 
       '"gnp.n"' - Nominal GNP, [Millions of Current Dollars],  [1909 -
     1970], 
       '"gnp.pc"' - Real Per Capita GNP, [1958 Dollars], [1909 - 1970], 
        '"ip"' - Industrial Production Index, [1967 = 100], [1860 -
     1970], 
        '"emp"' - Total Employment, [Thousands], [1890 - 1970], 
        '"ur"' - Total Unemployment Rate, [Percent], [1890 - 1970], 
        '"gnp.p"' - GNP Deflator, [1958 = 100], [1889 - 1970], 
        '"cpi"' - Consumer Price Index, [1967 = 100], [1860 - 1970], 
        '"wg.n"' - Nominal Wages, [current Dollars], [1900 - 1970], 
        '"wg.r"' - Real Wages, [Nominal wages/CPI], [1900 - 1970], 
        '"M"' - Money Stock (M2), [Billions of Dollars, annual
     averages],  [1889 - 1970], 
        '"vel"' - Velocity of Money, [1869 - 1970], 
        '"bnd"' - Basic Bond Yields of 30-year Corporate Bonds, 
     [Percent per annum], [1900 - 1970], 
       '"sp"' - Stock Prices, [Index; 1941 - 43 = 100], [1871 - 1970]. 

     'surex1.ts' 
      This file contains monthly sampled exchange rate spot returns and
      forward premium data ranging from March 1976 to June 1996, with
     the  following thirteen column entries: 
      '"%d-%b-%Y"' Date in POSIX date format, 
      '"USCN.FP.lag1"' one month forward premium between USD and CAD, 
      '"USCNS.diff"' future returns on spot rate between USD and CAD, 
       '"USDM.FP.lag1"' one month forward premium between USD and DEM, 
       '"USDMS.diff"' future returns on spot rate between USD and DEM, 
       '"USFR.FP.lag1"' one month forward premium between USD and FFR, 
       '"USFRS.diff"' future returns on spot rate between USD and FFR, 
       '"USIL.FP.lag1"' one month forward premium between USD and ITL, 
       '"USILS.diff"' future returns on spot rate between USD and ITL, 
       '"USJY.FP.lag1"' one month forward premium between USD and JPY, 
       '"USJYS.diff"' future returns on spot rate between USD and JPY, 
       '"USUK.FP.lag1"' one month forward premium between USD and GBP, 
       '"USUKS.diff"' future returns on spot rate between USD and GBP. 

     'rf.30day' 
      This file contains monthly data from July 1926 to December 2000
     representing nominal interest rate on 30-day U. Treasury bills.  

     'black.ts' 
      This file contains real monthly stock return data from January
     1978  to December 1987 which are constructed from 'berndt.dat'.
     The  data set holds the following columns: 
      '"BOISE"' real monthly returns of Boise. 
      '"CITCRP"' real monthly returns of Citicorp. 
       '"CONED"' real monthly returns of Consolidated Edison. 
      '"CONTIL"' real monthly returns of Continental Illinois. 
      '"DATGEN"' real monthly returns of Data General. 
      '"DEC"' real monthly returns of Digital Equipment Company. 
      '"DELTA"' real monthly returns of Delta Airlines. 
      '"GENMIL"' real monthly returns of General Mills. 
      '"GERBER"' real monthly returns of Gerber. 
      '"IBM"' real monthly returns of International Business Machines. 
      '"MARKET"' real value-weighted composite monthly returns. 
      '"MOBIL"' real monthly returns of Mobile. 
      '"PANAM"' real monthly returns of Pan American Airways. 
       '"PSNH"' real monthly returns of Public Service of New
     Hampshire. 
       '"TANDY"' real monthly returns of Tandy. 
      '"TEXACO"' real monthly returns of Texaco. 
      '"WEYER"' real monthly returns of Weyerhauser. 
      Source: Berndt (1991) 

     'klein' 
      This file contains data for Klein's (1950) simple econometric
     model  of the US economy. The Klein data frame has 22 rows and 10
     columns: Column 
      This data frame contains the following columns:  'year' years
     1921-1941, represented in the POSIX data format  %Y-%m-%d,  
      'c' the consumption, 
       'p' the private profits, 
      'wp' the private wages, 
      'i' the investment, 
       'k.lag' the capital stock, lagged one year, 
       'x' the equilibrium demand, 
       'wg' the government wages, 
      'g' the government non-wage spending, 
       'tax' indirect business taxes and net exports. 
      Source: Greene (1993)

     'kmenta' 
      This file contains partly contrived data from Kmenta (1986), 
     constructed to illustrate estimation of a simultaneous-equation 
     model. The data set has 20 rows and 6 columns, where the first
     holds the ISO-8601 formatted date as "%Y-%m-%d":  The remaining
     columns are: 
      'q' food consumption per capita, 
      'p' ratio of food prices to general consumer prices, 
      'd' disposable income in constant dollars, 
      'f' ratio of preceding year's prices received by farmers  to
     general consumer prices, 
      'a' time in years (numbered from 1 to 20). 
      The exogenous variables 'd', 'f', and 'a' are based  on real
     data; the endogenous variables 'p' and 'q' were  generated by
     simulation.

_F_o_r_m_a_t:

     All files are in CSV Excel spreadsheet format. The delimiter is a
     semicolon.

_R_e_f_e_r_e_n_c_e_s:

     Berndt E.R. (1991); _The Practice of Econometrics: Classic and
     Contemporary_, Addison-Wesley Publishing Co. 

     Box G.E.P., Jenkins J.M. (1976); _Time Series Analysis:
     Forecasting and Control_, Holden Day, San Francisco.

     Brooks C., Burke S.P., Persand G. (2001); _Benchmarks and the
     Accuracy of GARCH Model Estimation_, International Journal of
     Forecasting 17, 45-56.

     Ding Z., Granger C.W.J., Engle R.F. (1993); _A Long Memory
     Property of Stock Market Returns And a New Model_, Journal of
     Empirical Finance 1, 83-106.

     McCullough B.D., Renfro C.G. (1998); _Benchmarks and Software
     Standards: A Case Study of GARCH  Procedures_, Journal of Economic
     and Social Measurement 25, 59-71. 

     Greene W.H. (1993); _Econometric Analysis_, Second Edition,
     Macmillan. 

     Klein, L. (1950); _Economic Fluctuations in the United States
     1921-1941_, Wiley. 

     Kmenta J. (1997);  _Elements of Econometrics_,  Second Edition,
     University of Michigan Publishing. 

     Laurent S., Peters J.P. (2002);  _G@RCH 2.2: An Ox Package for
     Estimating and Forecasting   Various ARCH Models_,  Journal of
     Economic Surveys 16, 447-485. 

     Nelson C.R., Plosser C.I. (1982);  _Trends and Random Walks in
     Macroeconomic Time Series_, Journal of Monetary Economics, 10,
     139-162. 

     Zivot E. (2000); _Cointegration and forward and spot exchange rate
     regressions_, Journal of International Money and Finance 19,
     785-812, and 387-401.

_E_x_a_m_p_l_e_s:

     ## SOURCE("fBasics.36A-fSeriesData")

     ## NYSE Residuals:
        data(nyseres)
        ts.plot(nyseres, xlab = "Index", ylab = "log-Returns",
              main = "NYSE: log-Returns")

